Aah, give the guy a break. All some people notice about cars is color, and let's face it, the orange is a color that some less-informed people (just uninformed, not "ignorant") would associate more with a Neon.
Combine withat with Mazdaspeed Proteges, and actually Protege's in general, not being as common as the various Hondas, Mitsus, and Neons, and some confusion is a natural.
Give the guy a break, use it as an opportunity to educate, and you develop a friend, possible ally, and heck, maybe he'll even trade that BMW in for a car with a decent radio. Take it the negative way (that he's some sort of ignoramus jerk who deserves many undescribably evil things happen to him) and the guy walks away with a bad opinion about MSP owners.
Kill 'em with kindness - a technique that works well even IF the guy's a jerk. At least he appreciated the car and the "look" enough to ask...