Regarding the unit I linked compared to other ones like it - there may be a cheaper way of doing it, but it seems they are hit and miss and I bought that one and can confirm it works. Also, if you have an old laptop lying around still running Windows XP, this is its time to shine.
Regarding the type of unit I linked comparing it to a standard OBD, there is definitely an advantage. With this tool you can program the car. Not just the dealer stuff (like do you want the alarm to beep or not when you lock it) but also stuff like being able to roll up the windows when you hold the lock button down (in the US market we can only roll down by remote, not up). Lots of other things too, that was just an example. Also the BMW diagnostic system (DIS, the one in that package, is for vehicles up to and including the OP's e60. Later cars use ista/p, which that same ebayer also has, but I haven't bought that one), while ridiculously intuitive to use, gives you way more detailed information than an OBD scan tool and can perform diagnostic tests on the car. Newer BMWs (basically, the ones that don't look like the late 90s - 2002+ 7-series, 2003+ 6-series, 2004+ 5-series, 2006+ 3-series) need to have the car told when you install a new battery (yes, really, it's insane). I don't think any standard OBD tool can do that, but the BMW software can.
