programming key for personal settings

I own a '95 bmw 740iL. I got it about a year ago and i'm still trying to learn about everything it has to offer. It didn't come with a manual so i've been looking at the 2000 manual, and it seems to be doin the job. It keeps mentioning that the bmw key can be programmed to active settings when you unlock the car. For example, when i unlock the car, it will automatically adjust the seat to my position and the heat to how i like it. There were a lot more, and i was wondering how i would go about doing that. Do i have to do it through the dealer, or can i do it by myself. Also, is there a good website for buying bmw parts. Thanks for any help.