2002 M3: Check Engine Light is On, read code "catalyst system efficiency, cyl #4-6". What does that means? It is a "do-it-yourself" fix or do I need to take it to the shop?

It means one of your cattalytic converters is out/off/not working properly. Depending on where you live and emmisions laws, it may be kinda cheap, it may be horribly not cheap.