I've never actually setup internet access through bluetooth for a PDA but I
think I can get you started on the right path.
On Your Desktop:
Open My Computer, you should see an icon for My Bluetooth Places if the
software has indeed been installed correctly. In My Bluetooth Places run the
Initial Bluetooth Setup Wizard to setup the adapter for the first time.
Then once you're done you can setup the services you want. In the wizard you
can choose "I want to configure the Bluetooth services that this computer
will provide to remote device" or you can click "View My Bluetooth Services"
and then choose My Network Access depending on what you need.
I hope that helps somewhat.
Also I did find a few links on bluetooth internet sharing:
http://www.geekzone.co.nz/content.asp?contentid=449