Bluetooth is a great tochnology, if you know what to do to get it working. One of the most important steps in using bluetooth is bonding: it shows that devices are trusted and can use each others services. 

Pairing (or bonding) a bluetooth device to your desktop or laptop starts with exploring your bluetooth places. When you open this, you see the following:

When you see this, it indicates that there are no devices bonded and that you do not have any devices bonded and that there are no  discoverable devices in your direct environment.

You can make your device discoverable by entering the bluetooth settings and activating bluetooth and allowing other devices to see your device.

After this, you let the bluetooth manager scan the neighborhood, which will result in the discovery of your own device:

Now you have to start the bonding by performing a right-click on the newly discovered device, and selecting Pair Device:

This will result in the following dialog, asking for a passkey for the relation:

You can use any key (numbers or letters) for this, just make sure you remember the sequence.

After entering the passkey on the desktop/laptop, you get the following dialog on your PocketPC:

Here you will have to enter the same passkey again, as a confirmation that you are both owner of the devices that are trying to bond. After this has taken place, the following is shown in your Bluetooth Neighborhood:

The green tick-mark indicates that your device is bonded with your desktop.