Bluetooth drivers, pairing & Windows confused; not knowing anything.

Such a title will get me in trouble and possible few viewers but I couldn't figure out how to properly address my problem--sorry.
Here goes. I bought a bluetooth dongle. Had problems installing its drivers since Windows, Calling it ''Bluetooth radio" couldn't find the right drivers. I uninstalled them and then via something called "IN3BTH02WW6.exe" It seemed to install the correct drivers. More precisely what the above installed is: CSR Bluecore device, CSR Bluetooth radio, Bluetooth SPP Driver COM 5, and Bluetooth SPP Driver COM 6.
Reboot all seems OK.
Now I go to my Control Panel and I see: 1-Bluetooth Devices, 2-Bluetooth Settings, and 3-Bluetooth Local COM.
If I click on either of the first 2 nothing happens--no new window, no anything as if I clicked on an empty space. Shouldn't they do something? Assuming so then something is wrong somewhere--which may be this installation of drivers has nothing to do with my dongle and hence the cause of the other problems listed below..
I'll get to the COM one later.
My aim is to use my headset (the one I use with my cell phone) with my PC.
So I went to CTRL Panel--> Devices and Printers --> Add new Device and nothing happens it just searches and searches and searches--and yes I did let my headset try to pair during this process.
Now to 3-Bluetooth Local COM. If I click on it a window pops up saying it wants to install drivers. Why would it want to do so since the drivers are already installed? Do I need even more drivers? Nevertheless it just hangs.
If anyone has any advice I'd appreciate it (or even a better title).

Thanks maxie. There was a step left I had left out which I was not aware of:
I managed to fix the problem. I clicked on the -1- Windows Icon start menu button. -2-Typed in Bluetooth. -3- Clicked on Add Device -4- Set my headset to pair and voila, all done