It's the data port that's (i think) bmw-only.
Open your hood and look for a black, round cap near the left strut tower. You should be able to unscrew the top and it'll be held by a teather. When you look under the cap, you'll see about 20-25 female pin connectors. This is used for connecting to the BMW computer for things like resetting indicator lights (ie: oil, airbag, etc).
What year/model car do you have by the way? We don't want to give you information that's inaccurate because of your car.