Only if your car has the EWS security system.  I installed my own chip, only to learn that my car had the EWS system and then had to take it to the dealer for install.  Mid 1995 this system was added.  If your car is older you can install the chip yourself.

" The ECU is located just forward of the glove compartment but inside the engine compartment. On the firewall behind the passenger side shock tower in the engine compartment is foam rubber shielding. Remove that and the black plastic cover behind it. Slide out the ECU and copy down the Bosch part number (a ten digit number that starts with 0-261-200). For further assistance refer to this page: http://www.turnermotorsport.com/catalog/e36_ecu_removal.htm

thanks to someone over at bimmerforums