It's a small heating system that pre-warms the coolant fluid of the engine. It also activates the ventilation so when you get it the car it's cosy and warm
Here's more info:
http://x3.xbimmers.com/forums/showthread.php?t=607997
It works great (although under some circumstances it triggers the alarm, but the dealer is investigating the issue and I'm sure they'll find a solution)