I don't think you feel "guilty." I think you feel "embarrassed" whenever someone asks you what you drive.
Personally, I would as well. I'd feel rather embarrassed, although I don't really think you should. You have done nothing wrong.
If I were you, I'd either enjoy it, or I'd sell it and get another type of car (if you don't like it, or don't mind). It's not that you NEED to because of some moral or other reasons, but it'll make you feel more comfortable at the end of the day, and how much is that worth to you? Taking a stand and sticking with your BMW is one option, because you've done nothing wrong by receiving this car from your parents. But are you really going to win at the end? Are you going to feel comfortable owning it even though you haven't worked hard? I don't think so. Some people may feel ok with it by being thankful to their parents, but some people are naturally more inclined to work for everything they get, regardless of their parents' financial situation, and I think you're that type of person.
I'd sell it and get a Rabbit. 😛