Usually you can lock all doors when you push down the pin at driver's door from inside.
If that does not work, maybe you have a broken wire from the A-pillar to the driver's door.
Remove the door panel and remove and get your tester ready.
It could be like this
http://www.pagaduan.org/bmwe32/images/tuer_h_l_0.JPG
http://www.pagaduan.org/bmwe32/images/tuer_h_l_1.JPG
http://www.pagaduan.org/bmwe32/images/tuer_h_l_2.JPG
http://www.pagaduan.org/bmwe32/images/tuer_h_l_3.JPG
I assume that you already checked the fuses and relays?