Afraid it's an expensive and common problem. When I first suffered the problem, I was under Warranty and BMW tried to dodge the issue. The second time they fixed it properly. Probably should have been a "Recall" item.
Ford calls them "Heater Cores", lord knows what BMW calls them, but they are expensive and difficult to replace. They are the essence of your A/C. Not a do it yourself job. The "smoke" was greasy, right?