Make all the settings to your liking.
Then save them to one of the memory buttons.
Switch off engine.
The next time you start, it should be all set to its memory setting.
Sometimes you need to do it a couple of times to over ride the last setting.
OR...it could be the memory programmed in your key.
Your key/keys can be programmed individually to your settings.
When you deactivate the alarm to open the doors, the memory settings will be reset to whichever key you're using. This way, for example, you and your wife can use separate keys with different settings.
I think the dealer needs to do this programming though,
and I don't know if it's a feature available on all E39s, I know it's on mine coz' I had to ask the dealership to delete the program of the previous owner on my keys! It was getting annoying everytime I deactivate the car's alarm to get in!