I posted this some years ago. Maybe it will help explain the light warning with HID installations.
The BMW warning circuit runs a tiny DC current thru the bulbs in order to determine whether the bulb has blown or not. This is done when the key is turned on without the lights on.
This works fine for incadescent halogen bulbs which contains a filament and a closed circuit will indicate that the filament is intact. If the filament is blown, then the curcuit will be open and hence the warning indication.
HIDs do not have filaments and under normal circumstances, the circuit will always be open. The current used to run the HID bulbs is also AC. Original BMW HIDs fitted to cars as original equipment caters for this in both the curcuitry and the warning programming.
Fitment of aftermarket HID will cause this light warning to come on. Most after-market HID kits specifically made for BMWs comes with a bypass circuit with a resistor (not a capacitor) either as an add-on or built into the balast to "fool" the diagnostics. The bypass circuit will allow a small current to pass thru to produce the closed circuit like as if there is an intact filament and prevent the warning but will not be live when the lights are switched on or when the car engine is off to prevent battery drain.
I believe this little bypass is also sold separately when I wanted to do my E39 HID conversion. See here
http://www.convert2xenon.co.uk/product.php?id_product=20
For those who are attempting to fit an aftermarket HID, please ensure that you pick the right kit with this "Light Warning Canceller".
Best of all, get an OEM or dealer kit cos the dealer will do the installation and reprogramming (especially the newer models) and in some cases, the kit will include a rear sensor to provide headlight levelling feature which is crucial to HIDs. Besides they are legal.
My 2 cents worth.