As previously stated, each State is different. The States have these rules so people don't go to other States with lower tax rates to purchase their vehicles and then register them in the state they actually live in. A State will also normally waive sales tax if you can prove you paid it in your previous State.
Now, you should contact the titling department in Colorado and see if there is a specific time or mileage requirement that you have to own the car before you are waived from paying the sales tax. For example, it's 6 months here in Ohio. I had to park my new car in my new driveway for 4 months before getting Ohio plates put on it. I drove it on my German shipping plates for 2 months until the German registration ran out. Now, if I remember correctly Spain doesn't issue shipping plates, so you should be able to drive on your current plates (Euro) for as long as Colorado will let you (again contact them). Just be prepared to explain the story to the random peace officer.
Another thing to keep in mind is; more than likely if you don't outright own the vehicle, your new State will need to issue a title on the car. BMW will have issued a Certificate of Origin to the bank, so that will need to be sent to the titling office. Yet another loop to jump through, but a necessary one.
It's always bothered me how AAFES and the other "military sales" programs tout their vehicles as "tax free." These sales programs never explain that there is a definite chance you will be charged taxes if you haven't met your States mileage or time requirements. As military members sometimes it's a pain to deal with these issues, but we shouldn't expect special treatment because of the job we've chosen to do. Yes, it can be a pain in the ass, but normally there is a way around most of these issues.