Call BMW Canada, they'll help you out. I talked to them about bringing in an e46 m3. They told me that there is a bunch of steps:
- you need a letter of admissibility from BMW (aprox $150). you present this at the border when entering Canada with the car
- BMW will have to do a recall check and update ( $500)
- make changes to the car (I.e. running lights) dealer told me that in an e36 this may be a dashboard change (careful here, you may not be allowed to simply hot wire the lights) e46 is just software change.
- take it to Canadian Tire to have it inspected and certified for Canada (YES, Canadian Tire is the only place that is allowed to do this)
- Then you register it. Need to do this within 45 days of bringing it.
Again, talk to BMW Canada, they'll know for sure. I called the dealer to find out costs for setting up running lights for the car. BMW told me some older BMW are really expensive to bring in due to the costs of setting up running lights...