The VCG is an easy DIY so don't worry to much about it.
Unfortunately, your overheating problem sounds to me like there's alot more that will need to be replaced. Thermostats generally fail open, but even if yours has failed closed I can't see how that would cause you to lose all of your coolant. That loud pop you heard may have been your water pump breaking.
How many miles on the car?
Regardless of the mileage, 12+ year old plastic parts are bound to fail. At the very least I'd look at replacing your water pump, thermostat, and expansion tank followed by some fresh BMW coolant.
How long was the car driven in the red? Was the needle fully pegged to the right, or did it have some more room to move?
2003 ///M3 6spd Jet Black/Cinnamon (I Loan Valve Adjustment Tools! PM me...)
Last edited by 328ci906; 09-19-2012 at 08:26 AM.