Difficulty connecting bluetooth device

It is probably some procedural matter that will only happen once. The most common problem is having bluetooth on hardware serial while uploading as in reply#5, but there may be something else - at the PC end.

You might find the following background notes useful.

http://homepages.ihug.com.au/~npyner/Arduino/GUIDE_2BT.pdf
http://homepages.ihug.com.au/~npyner/Arduino/BT_2_WAY.ino