I was hoping someone could explain to me how to program the car code entry on this car(probably the slickest feature ever). I press BC then press the set button for code, enter the code and then turn the ignition off as told by the manual. however it only works the one time after I set it. Any help? I feel like the manual is missing a step or something.

Are you trying to program your car keys specifically the remote for door unlocking/locking? If yes then just use <Search Y! Answers> and type in BMW Key Remote.
If instead you are trying to program some fancy feature in the car key memory then a BMW diagnostic/programming computer is needed.
But if you are trying to set a code to input to the onboard computer when you enter the car and before starting the engine (like a manual code for an aftermarket anti-theft system) then good luck...