The nokia software is really not user friendly.
Open the software and select the 'get connected' button. Follow the screen prompts.
Next start the bluetooth manager, an icon will appear in the taskbar. With the phone bluetooth enabled under connectivity menu, right click the little bluetooth icon in the taskbar and select new connection. This will scan for and device and find the phone. Once found, allow the phone to accept the connection and give it a name such as 'Home Computer'
This should do it...