Games001: I sort of have that difficulty as well, and I think it's related to our BT drivers. It still works though... you step through the "add new BT device" stuff, and with mine, even though it goes off, if I turn it back on, it completes the add.
Read what rdenis said, it's accurate. Once you get it connected and going, you'll be able to do a lot of neat stuff with glovepie scripts.