Your first choice is OEM BMW keyless entry / alarm system - about 350$ from dealer or 200$ off Ebay. Plugs straight into factory port (your car should be pre-wired for it - check the decal inside the trunk). OEM system does double-lock and has glass-breakage sensor. It cannot operate windows/sunroof.
Many aftermarket alternatives also plug into factory port and provide more functionality for much less. Example - Stellar's Keyless with windows control, priced at 180$, here: http://www.autowerks.com/xcart/customer/pr...&cat=108&page=2
If you buy a new product, it comes with clear installation instructions. For a used factory OEM unit installation, check here: http://www.geektimes.com/michael/techno/wh.../install/alarm/
Installation usually takes about 1-2 hours. Have fun!