If you're not a member of the BMW CCA, you should join. It's cheap, at $40/year, and you access to lots of events, plus you get the fantastic publication Roundel to boot.
Once you join, make sure you specify your home chapter, which would be the Sunbelt Chapter (
http://www.sunbeltbmwcca.org/ ), and check out their calendar of events. They likely have autocrosses every month, and just checking, I see there's one next week, and another Oct 18. they run in OKC.
Our chapters all have instructional programs, and you'll meet all kinds of cool people to help you out and give tips.
I chair the Boston Chapter's events, and I frequently get email from people wanting to try out the sport, but are unsure of a few things. Feel free to ask here in the Racing forum for tips, but also let the autox coordinator know that you're a novice and would like an instructor to help you out.
Most of all.. don't worry about winning anything, just go have fun, learn what you can (it doesn't come all at once), and the rest will come.