I'm having this problem on my 2001.
Here's a fix to get it running.
Idle in neutral for a minute to get the temp needle running up
Then put it in gear, the car will only stall in gear with the throttle engaged. At cold temps for whatever reason the car won't take the throttle.
Looking around I've seen quite a few posts on msg. boards out there. I was hoping to find a catch all fix.
Lots of people are talking about the idle valve as the problem.
I've got a CES code for the dealer to dump and I'll report back if they manage to fix it Wednesday.
I'm starting to wonder about this car myself, I've had issues with the window construction, fast idles, and now this stalling. And only 36kmiles. Consumer Reports is really ripping this lastest 3-series model. If I can't get this going I'm switching to some foriegn re-badge.