Like Greg, mine took a while. I've got an '08 purchased 04/09, and apparently there were 2-3 hours of updates that were needed. To further complicate things, the BMW center computer they connected to went down, and apparently it doesn't error out or give any message on the dealer's end. They noticed it had showed 2.5 hours remaining for over an hour and restarted. Thank God they had shuttled me home by then.
Only settings I lost with the full software update were seats and radio presets.