I went to AutoZone to have the guy pull the codes and results are:

P1423 EGI Functionality Test Failed

They used a Actron Scanner to pull the code.

Does anyone know what the EGI is and what to do to fix?

I think the "BMW translation" of P1423 would be "Secondary Air Injection Bank 1 Flow Too Low". That would point to a problem with the secondary air injection system and I'd think it to be a problem with valve or the pump. At a cold start you should hear the secondary air pump operating for a minute or so. If you don't hear that I'd check for power at the pump next. If the pump does run it may be that the valve has failed.

Thanks
I will take a look at that tonight.

I looked at the pump which appears to be running fine with no strange noises.

Is there suppose to be constant vacuume going to the valve or is there a switch that controls that?

One more question; Is it possible that there is really nothing wrong and if I reset the check engine light it may not come back on?

Thanks for the great info....

I believe the valve is controled by the ECU, so there's an electrical signal involved.

Yes, it is possible that this was a transient failure. Clear the code and wait and see if it returns.

Would I notice a change in fuel mileage if there was a problem with any part of this system?

The system only operates on a cold start for a minute or so. The Secondary Air Injection system feeds air into the exhaust to increase the O2 content at start, which helps light off the catalytic conerters. I don't believe it would have any affect on fuel mileage.