The cable comes with software, but it did not work (I did not try very hard to get it to work though)
I followed the following thread:
http://www.e90post.com/forums/showthread.php?t=480261
This is a link in that thread that is most important:
http://rapidshare.com/files/429875523/NCS_DIY.pdf
This NCS_DIY.pdf how-to is good, but is a bit flawed (It mostly tells you what to do, but not what you are actually doing) - I'm thinking of rewriting the whole thing (I will give full credit to the original author though).
Don't bother about the INPA airbag test - for me it did not work, but NCS still worked.
I've followed a lot of threads in a lot of forums and in one of them it told me to "process car" - do not do that - It changed my car from kms to miles, messed up service indicators etc. but I managed to get it back to where it was :=):
I also managed to make my aircon only blow hot air - but got that restored as well - so don't be too scared to play around.