You can typically buy the special cable on ebay and it would ship with a DVD (or two) with all the software (NCS Expert, WinKFP, DIS etc etc). The DVD is setup such that when you run it, it installs and configures everything on your laptop (Windows based).
Then you can learn how to use NCS Expert via the various threads here and elsewhere on other forums.
Here is a decent getting started guide:
http://www.bimmerforums.com/forum/sh...ith-NCS-Expert
This is the seller I bought the cable from:
http://www.ebay.com/itm/BMW-USB-OBD-...1/231931285961