First you have to set the zone. Then you can calibrate it. After going into calibration mode (using the adjustment button) drive in one circle very slowly. All of this is only required if the compass hasn't been set to the appropriate zone by the dealer.

The procedure is well documented in the owner's manual, which is also available on the home page of the site if you don't have one.

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2007 X3 3.0si, 6 MT, Premium, White

Retired:
2008 535i, 6 MT, M Sport, Premium, Space Grey
2003 X5 3.0 Steptronic, Premium, Titanium Silver
2002 325xi 5 MT, Steel Grey
2004 Z4 3.0 Premium, Sport, SMG, Maldives Blue