What is your driving style and how do you tend to use your brakes? Type and frequency of driving? Car parked indoors or outdoors? Live in the rust belt or Seattle?

What exactly do they mean by corrosion? What's corroding? Brake rotors? Brake pads?

It's not unusual for the steel rotors to rust up if the car sits for awhile and is exposed to moisture/humidity, etc. If it's that extreme, you should be able to look at the rotors and see what they're talking about. You might have to pull off a wheel if you can't see through the wheel spokes. Assuming the dealer's correct, a little more aggressive driving/braking presumably will burn off the rust. In a safe locale, no traffic behind you etc., several hard stops from a higher speed (55, 65, 80 mph?) might get the rust burned off. You'll need to brake very hard, hit the brakes hard, trying to bring the car to a stop as quickly as possible. Don't overheat the brakes by doing too many stops too quickly together - if the brake pedal gets spongy, let them cool before more hard stops. Obviously this should be done on a flat, dry road, with as little traffic around (or traffic potential) as possible. And, of course, you don't want to get busted by police for erratic driving.

As for driving technique regularly - use your brakes, instead of engine braking and coasting (if you happen to be doing that). The brakes are designed to slow the car, your transmission isn't, and the tranny is waaaay more expensive to replace than brake pads and rotors.

If your shimmy from braking at highway speeds is still there after making sure you don't have rust on the rotors, the rotors may be warped. If the dealer won't replace them under warranty (not sure if rotor warping is covered that way or not) you might want to have them replace the rotors, or have a shop do it, or do it yourself.

Rotors can warp for a lot of reasons -
riding/trailing the brakes; you should brake when necessary of course, but it's better to brake normally than say, a long, light, application of brakes up to a stop. If you drove down a long incline (say a mountain road) and just lightly braked for the entire descent, you could overheat the brakes and warp the rotors that way.

Lazy left-foot braking could do it too - if you tend to hover your left foot over the brake pedal at all times, without realizing it you could have the brakes on and overheat them (although then you probably wouldn't have corrosion building up).

Anyway, it's those kinds of factors that your dealer can't control, so that could be why they're not taking on your brake problem as a warranty issue. Warped rotors are a bit annoying however, so if that's what you have, you'll have to decide if you want to tolerate that until they require replacement.

If the steering wheel shimmies on hard braking
It is most likely warped rotors

It seems unlikely that rotors warping is an endemic problem to the car, seems like most BMW's have had excellent brakes for a long time - given the variable possibilities of driving style, I'd doubt that rotors are a warranty item. Never hurts to ask tho -

Unless there's some brake system problem (seized caliper perhaps, but that seems unlikely, plus it seems like the car would pull to one side or the other and be a noticeable issue), then consider the elements of your driving style that might be a cause.

Overheating the brakes would be the most likely way for the rotors to warp. Since you say you drive aggressively, make sure you're not overheating the brakes. For instance, it's a bad idea to have a hard stop, (up to a traffic light, say) getting the brakes all hot, and then sit there with your foot jammed hard into the brake pedal. The brakes clamping hard like that on hot rotors might cause warping. Once you're stopped, it's better to use the least amount of brake pedal necessary to hold the car still. This is not to suggest you should forget the brakes altogether on an uphill and hold the car in place by slipping the clutch until the light changes - that'll wear the clutch out prematurely.

Let's see... multiple hard stops, racing from light to light or stop to stop, having the pedal get spongy underfoot but continuing to push the brakes hard... anyway, you get the idea, anything that could get brakes overheated.

Stock BMW brakes tend to be very good for most driving situations - if you've been to some track events on stock brakes and push the car hard enough you've undoubtedly experienced some fade or pedal sponginess, at which point all you can do is let up a bit 'til they cool enough to start working well again. Old rotors that are worn down and under spec would probably warp more easily than new ones, but again, they'd have to get pretty hot.

Sorry not to have more suggestions for you - if they've only warped just recently after several years of driving, it would seem unlikely that warping should be a oft-recurring issue. On stock E30's at track events, it hasn't been uncommon over the years for them to suffer rotor warping - they don't get enough cooling air; air ducting directly to the rotor usually mediates that adequately. I doubt E46's typically suffer similarly - E30 stock brakes are pretty small comparatively!

Oh yeah - forgot to add. When you have had a hard stop, or hard enough stops/driving for the rotors/brakes to get hot, not only should you not sit still w/ your foot hard on the brake, also you might want to try not to 'hot-spot' the rotors by trying not to have the brake pads clamping the rotors in the same position for the entirety of your 'stopped' time - let the car roll forward (or pull fwd, if necessary) a smidge at a time to avoid that (obviously without pulling thru a traffic signal inappropriately, etc.)