Bluetooth is used to create ad-hoc short-range wireless connections between devices such as your PC and, say, your mobile or PDA.
It's a bit fiddly, though it's a great technology when it works. Have a look in your control panel, which will indicate if Bluetooth is installed - you'll be able to switch it on from there.
You have to pair devices - set them both (ie the computer and the phone/PDA/whatever) to "discoverable", then "add new device" on both. They will sniff around and with a bit of luck see each other.
You're then asked for a passkey - this can be any four numbers. You'll need the same passkey on both devices.
Then, depending on the software, you should be able to "see" the other device and exchange information - ie photos and vcards - between them.
It's wonderful in theory but can be very flaky as it's never really taken off and realised its potential as a technology. To be honest, if you can connect your device via a cable, do that - it will be much more reliable. But give it a whirl: when it works, it's brilliant.