That's a nice new toy there Hughes. In the States our stereo units are sized per "DIN 1" and "DIN 2". The original radio in a bmw 3-series is roughly the size of a DIN 1. You appear to have purchased an in-dash unit that is roughly the size of a DIN 2.
Like AZ said, to fit your new unit into your car, you'll have to pay someone to cut into your dash.. which could be both costly and disasterous if they make a mistake.
I would recommend you return the unit you bought (if possible) and purchase a unit that is sized as DIN 1. Pioneer makes a few here in the US and that supports GPS, DVD, MP3, CD and radio. Kenwood and Alpine also have DVD units with fold-out screens. These units will fit in your car neatly without the extra dash work and still provide you a DVD screen (some with touch-screen options).