Check Break Linings?

[aaron]

Today my after filling up a full tank of gas, i got into my x5 and about to turn on the ignition and all of a sudden the display says "check brake Lining". I have no idea what this means but when i called ROB he says that its my break pads that needs to be change. The break light also appear in red while driving. Is this normal? I have and 01 x5 with almost 45K onit
Is this true?
And how much would this cost?
If i change it with a independent machinic using Axis pad deluxe would the signal light go away?

thanks for all the input and thanks to ROB. He has been very helpful.