Step 1
Enable your Bluetooth device and establish a connection between the PC and the Phone. This can be achieved by doing the following:

Click the Bluetooth icon that appears in the tray

In the window that will appear clik Add.. in the Devices tab. Be sure that you have enabled Bluetooth in your phone and follow the instructions of the wizard. In the second screen, if everything has gone good, you will see that your pc found your phone. In my Greek version of the Windows XP this screen look like this

Select the device and press next. What is going to happen next is more or less device variant. For my nokia 6230i I select the first option of the next screen (use of password) and when I press next a new form appears with a password on it. My phone asks me to enter the password that I see in that form and the connection is established!

Step 2
In this step we are going to see which com port has our pc assigned to our mobile phone. Double click again in the Bluetooth icon. Sometimes it happens that the Bluetooth icon has disappeared, in that case you can find it it the control panel. Select your device in the devices list and click properties. In the new form that will appear click services. In my Greek Windows XP it looks like that:

 

Make sure that the check box "Serial port 'COM XXX'" is checked. Then note the pc com that your pc has assigned. In the above screenshot the option I am talking about is the second and my pc has assigned COM 12. Press OK. In order to test these setting open terminal. Create a new connection, in the connection using filed choose the COM port that your pc has assigned to communicate with your mobile phone. In my case this is COM12. Press OK. A prompt may appear in your phone. When the connection is established write in the HyperTerminal window AT , press ender and your hone will reply OK.