The first question is are you on 1.6 or 2.1?
If its 1.6 and have market access try the Bluetooth File Transfer app, that let me connect my phone to my netbook. I read elsewhere about certain Nokia phones being tricky but this app may help.
If you are on 2.1, you should just make your device discoverable and then scan for devices and then pair in the normal way. I still have Bluetooth File Transfer app on 2.1, I prefer it for somethings.