The 2003 540i has it. I think its the E39? I forget. I have the video that comes with the 540i. It has nothing to do with the radio. The "Code" feature allows you to set a 4 digit code before you leave your car. This way, even if someone finds your key, they cannot start your car without being prompted to re-enter the code. I guess you may use it to password protect your car while the babysitter/kids are at your house with your car keys.
My friend's E36 M3 also has this feature, although his is accessed through the On-board Computer using the 1000, 100, 10 and 1 buttons. He also has a "Code" button on the bottom row of buttons next to the timer and mileage buttons. If you forget the code, it's a pain in the a$$ to get the car started as you have to call BMW.
I would upload the video to a web site, but I haven't figured out how to get it off the CD. I think it's in a proprietary format.