If you do use a cover make sure it is a outdoor cover as offered by BMW. I used one outdoors for a year on my E28 before I had the car repainted (some one run a key all around it) after that I only used the cover indoors on my M3 in the winter time.
a link to some pictures are here ....
http://web.me.com/solgain/Dieters_Travel_Site/Album_Page_4/Pages/BMW_Cover.html
BMW also sells a outdoor cover for a Z4 expect to pay around $400- for it. As others said do secure it well so it does not flap around on your car.
see a picture of it here ....
http://www.zpost.com/forums/showthread.php?p=6732682
I would never park my Z outside in the winter, covered or not covered ... I would find a storage for it and cover it till spring.

thats just me, I am fortunate I do have a 2 car garage, so I can visit my Z any day
Here is one for sale ... (or was a couple of years ago) ... they are out there ... people get into a house then don't need them any more ...
http://www.zpost.com/forums/showthread.php?p=3637097
Found another good one here ... have a look
http://www.bmw-mania.com/web/Item/BIM1018/InvDetail.cfm
Good luck in finding the right cover, make sure it is a BMW one.