In what way does the car not exist? They usually ask for the last 7 digits of the chassis number. I presume you gave it to them correctly?
If they have no record, I'd be a little concerned.
I can (and have done for some people) an Experian search on your vehicle to see if you have the genuine article - I'd need either the full chassis number or the registration.
I assume you bought the car second hand? Was it a private purchase or through a dealer?
Please tell me that you attended the vendors home address if it was a private sale, and that you didn;t meet in a petrol station.
X5's are stolen a worryingly amount of times a year, so I really hope you haven;t bought a lemon.
Did you do a HPI check when you bought it.
Equally (and sorry to be cheeky), but what uyear is it and how much did you pay - if the deal was too good to be true, there is probably a reason for that....