Ditto what the guys said above. To do auto lock...it requires software/hardware...there's no quick driveway trick (without software/hardware) to set this option.
If you don't have the software/hardware...or no one else that has it...you can always take it to your local BMW dealership...at the going labor rates...and have them program it.
Once you have the ability to communicate with the car's bus system...then you make the selections accordingly. If you already have remote keys that have specific programming, then you'll need to select key 1, 2, 3, or 4 for auto lock...then at what speed you want it to engage: