If the engine was off for 15 or 20 mins (I forget which), the fan comes on even if you had shut it off. The temperature which you left it at will be the same though... so it's not actually heat on... it's fan on, at whatever temp you had it at. There does not appear to be a way to keep the fan off at startup.

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'08 X5 3.0si - Alpine White / Saddle Brown interior
Specs: Sport Pkg, Premium Pkg, Tech Pkg, Comfort Access, Aero Kit, Style 433 staggered 20s on Conti DWS
Mods: Carbon 35 tint, LED angel eyes, GP Thunder 7500k fogs, H&R 20mm/25mm spacers, clear reflectors, gunsmoke-tinted taillights
Coded: Digital speedo, windows/sunroof/tailgate close via keyfob

X5 pics at Flickr