I can confirm what Fox says regarding the new style key charging via the ignition, but I would have thought the "old style" would also charge via the ignition. I can't imagine BMW still using replaceable batteries in 98/99...
Did you not get a spare key+fob?
The thing with BMW (and maybe other brands also) is that a lot of information regarding the car is stored on the fob itself and is updated everytime you start/stop the car, so they are going to be costly than you would think.
I'm not sure how the fob is designed but if it's just customised to the unlock then cost should be minor, however if it is customised for this statiscial gathering then you may be looking at something a bit more pricey.
Best option, try charging it in the ignition and see if that makes it work, if not then call the dealer...
EDIT: From your pic and description it is the same as my key and should charge in the ignition.