Welcome to Bluetooth. On the right you will find links to the step by step guide i've written up to help others get bluetooth setup. I have sectioned it off into five steps. I recommend you follow them in order. Once everything is working check out the extra guides in the general section i've provided on more advanced things bluetooth can do.
If you know what your doing and just updated to 1.3.2.7 take note of this change:
To connect over network access in 1.3.2.7 do not use "Connect to the internet" in the bluetooth wizard instead use "explore a device" and select "network access." If you have ICS, or a bridged connection with a dhcp router it should connect fine.
The first time you connect to a 1.3.2.7 device over any of the profiles (network access, Activesync, file transfer, ect) you must authorize it by attempting to connect, then on the desktop machine clicking the BT icon in the system tray and authorizing the access (i recommend you check the always allow box, so you only have to authorize the device once).
The 1.3.2.7 changes the way network connection is shown, there will now always be a network cable unplugged icon in the system tray when a device is not connected to network access. Do not let the cable unplugged icon bother you, continue with setup as normal.