The "Service Engine Soon" light can come on in your BMW for many reasons. It appears to alert you to a malfunction or error so you can get a problem fixed before it gets worse.
The "Service Engine Soon" light in your BMW is similar to a "Check Engine" light in other cars. Your car has a computer which runs diagnostic tests while your car is running. If something comes back faulty or negative, the light comes on.
If the "Service Engine Soon" light appears, first check that the gas cap is on tightly. Also make sure you have enough coolant and are not due for an oil change. These are things you can fix yourself easily (or, in the case of an oil change, have done easily by a serviceman) and cheaply.
If none of those issues seem to be the problem, it's time to take your BMW to a dealer or auto repair technician. Your dealer will have a computer that can be hooked up to the car's computer to determine exactly what the light means. The sooner you can take your car in, the better; often the "Service Engine Soon" light alerts you to issues that start out small but can quickly escalate into bigger and more expensive problems.