You're dealing with some strong violent emotions here.  I don't know what all the details mean, but I'll give it a try...

First, you're following an older woman into the room where the scene happens.  I think this older woman might be the "old woman" of the soul, the maternal figure whose role is to bring nourishment and health to our souls.  She is leading you to meet someone.  The fact that you see her as rather unattractive (from what I gather the way you describe her) means that you are a little resistant to learn what she wants to show you.

I believe that the woman you meet in the dream, who is attached to your ex-boyfriend, is a part of your own soul that you have not accepted yet.  Maybe it's the part of your soul that is still attached to your ex-boyfriend.  You are at odds with her, since you think that your conscious self ("You" in the dream) has mastered the situation.  Yet she's there, and your dream is telling you that there's still part of you that is not under the control of your rational mind, as it relates to your ex.  Maybe I'm wrong here, so let me know if this strikes a chord or not!  If I'm on the right track, I'll continue. Just let me know!

OK, thanks for the information.

I'll start off with my intuition that his dream is a way for your soul to process all your emotions that you can't express in daily life.  God made our souls, like our bodies, to heal themselves, and I believe that dreams are part of that process.  Getting things out in the open (via dreams, therapy, friendships,etc.); putting yourself in a positive environment; giving yourself time; and telling yourself the Truth will all help you heal properly.

Seeing this rival girlfriend in your dream could be one of several things.  Maybe, since you don't really know her, rarely see her, never talk to her, your dream is fantasizing about what she could be like.  Or it might be, like I said at first, that you are meeting a part of your own soul.  I tend to think that this is really the case.  This woman represents the part of your soul that still wants a romantic relationship with the Ex.
The girl being pregnant represents a "Possibility," renewed hope in your life, or a new idea. You think you might still have a chance with your Ex, you are nursing this idea deep inside.  The metaphor of pregnancy is used.
Playing with iron wire... hmmm I'm not sure why the dream would choose this particular element as a weapon.
The woman stabs herself and the baby-- Violent self-destruction.  Maybe this indicates a killing of hope. You are trying to get rid of any hope for a new beginning in this relationship.  The fact that you felt emotionless in the dream may be underscoring this idea:  you are killing your emotions.
The woman had her hands cut off.  This symbolizes that part of your soul is feeling powerless to do anything about the situation.
She confesses that she hates her mate and is jealous that he still has feelings for you.  I think this means that this part of your soul, the part that wants romance with the guy, is fighting against the part of you that just wants to be friends.  The guy seems to prefer just to be friends with you too, and this romantic part really hates that.  You are seeking a deeper fulfilment with him, but it just isn't happening.  This is creating a violent emotional outburst, and an attempt at self-destruction, a very feminine revenge tactic.
The police could represent the part of you that is looking for facts, just wanting to be logical about all of this.
Taking your fingerprints has something to do with identity. The dream might be deliberately comparing the woman without hands (the romance-seeker) with the more rational part of you, who DOES have hands. In fact, these hands are what you are identifying yourself with.  You are coming to terms with the idea that you are just going to be friends with your Ex, and that's all.
I'm not really sure about the last part, finding the real killer being someone named Alexandra.  This could be a reference to someone in your own life.  The only thing I can think of is Alexander the Great, who was famous for conquering the entire known world at record speed.   

Does any of that help?  Take what you like, throw out or replace what you don't.  You are, ultimately, the best interpreter of your own dreams.
God bless.

Hello everybody again
...in addition:
I made last night another "baby related" dream!
I never happen so often to have dream I remember so close to each other. That's why I post it...

I'm in my work environment. Only that my desk is not in the place it is in reality, in the dream it is central and facing the door. Open space. A lot of white in fornitures. Good natural lighting.
From the door it enters a woman. I know her, she's a politician ( quite popular), she enters with a baby-carriage, she talks with some people then she greets me. I notice her elegance, and her dress which is at odds with the way she usually dresses ( quite sober and "rigid"), now she's wearing a very feminine and silky skirt and fleshy collants. She says she's happy about the baby. In the dream I see only the baby cariage, but not the baby inside.
Then other people arrives into the room. I recognize one of my old school friends I lost the communication with, and I feel embarassed because we lost the touch for so many years and I never called her back ( this is also in real life). But we talk to each other, at the end. And then I wake up.

So... again other female charachters in my dreams. This time the visit is from a fancy politician and someone I feel a little bit guilty about. Other parts of my soul I need to listen to? Is it has something to do with the same inner process Joynsyde wrote about ( maybe a step ahead?)?

Notes: in real life I was impressed, years ago, by this woman politician because she left her career- she declared so- for staying near to her sick mother and take care of her.

Does it has any meaning?