I've done it in the past but I've forgotten how and I don't think it works for me anymore.
I have the Nokia PC Suite installed and whatnot, but do it by simply plugging in my Bluetooth dongle and activating Bluetooth on my Nokia 5220 (Series 40).
When I try to join the phone's personal area network, the PC throws up an error. They are paired and otherwise trade files and whatnot without any problems. PC Suite refuses to allow my phone to connect via Bluetooth, only via the supplied cable (also throws up an error).
I believe it is since a software update, to Series 40 6.51 on the phone. Any help is much appreciated, I upgraded my plan with data for this very purpose. GPRS internet works flawlessly on the phone itself.
Oh and for reference, the laptop runs Windows XP Pro SP3.