Glad to see Mario is still onboard. He's the wiz.
The problem with your wheels is galvanic corrrosion - it's what happens when two different metals are in intimate contact for a long time. It's also what makes a battery work.
In your case, two things are at work.
First as noted by Mario (surprised previous responses did not catch it sooner, it is not uncommon), the aluminum wheel is electrochemically "bonding" itself to the steel hub. Solution is to whack on a 2x4 around the inner perimeter to loosen the wheel from the hub. Then clean both mating surfaces and apply a thin smear of grease. If you apply too much, don't come crying about your brakes all slippy
.
Second, BMW wheels are hub centric: they center on the hub based on a close fit between the hub and wheel, rather than centering by the tapered lug nuts (although this is also in play, it is not important here). If the hub becomes rusty so that the rust (which expands as it is created) fills the very small space between the hub and wheel, it will "lock" the wheel to the hub. Solution is as above: soft mallet or hammer on a wood block around the inner circumference, then clean (think energetic use of a stiff wire brush) and grease to prevent further corrosion.
Clean the mating face of the wheel (do all four, it builds character), and again, lightly grease.