My First BMW 2002 X5 4.4!!! Got Screwed!!!

[jhigbee]

Last night I bought my first BMW ever. Not shortly after I drove it off the dealer's lot, I noticed something really weird.

I was at a gas station, turned the car on, then as I stepped on the gas pedal, the rpm's went up to 8000 as if I was in neutral then all the sudden in went into gear with a big jolt.

The weird thing is, it's was in 5th gear the whole time. It never goes out of 5th gear. From at a stopping point to on the freeway, 5th gear the whole time.

The check engine light is on and I get a trans failed safe error. Error code is P0721. Other than that, everything else looks good.

Could this just be a sensor that needs to be replaced or is it a big transmission problem? Thanks guys! Any direction on this would be helpful.