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This is not 100% correct. There are two separate functions the wireless keys perform. The ability to start the car requires that the code emitted by a chip in the key match a code already stored in the EWS and DME computers. All BMWs are shipped with a total of 10 key codes stored in the EWS and the DME computers. These codes are a function of your car's VIN. When you buy a new key from BMW, their parts dept looks up your VIN to see how many of the 10 key codes have been issued. These codes refer to the identification signal emitted by the chip in the key. The chip can only be programmed once and it takes a special electronic coder to perform this function. Once 10 keys have been issued for your car, BMW dealer will tell you that you need to purchase a new EWS module and have your DME recoded. They will most likely want to charge $1000 or more for this service. There are people out there that can provide this service for less. One that I know of is RPM Motorsports in Canada. They have a web site.
The other function that does require dealer or owner setup is getting the locking and alarm system to recognize the wireless signal emitted by the keys. The dealer only needs your old key(s) when setting up the keyless entry and alarm system to recognize the new key. If the old keys are not re-entered at the same time as the new key, the system will only recognize the new key.