I've never used an iPhone. And never used bluetooth for anything other than keyboard & mouse. Did you pair your iPhone with your computer? That's always the first step. Also, make sure Bluetooth is enabled via the drop down menu on apple menu bar (near clock). You can configure it via options in this menu.

http://manuals.info.apple.com/en_US/...User_Guide.pdf Page 57 (bluetooth but more to do with calls) & 72

Copied from iTunes Help menu:

Unable to use Wi-Fi or Bluetooth with iPhone or iPod touch because there's no address listed for the device

Symptoms

The device shows no Wi-Fi address or Bluetooth address (Tap Settings > General > About and scroll down to Wi-Fi Address or Bluetooth).
iPhone or iPod touch appears to be connected to a Wi-Fi network but cannot use Wi-Fi for checking email, surfing the Internet, or other data transactions.
iPhone or iPod touch showing Wi-Fi or Bluetooth icon on device as grayed out.
iPhone not able to pair with Bluetooth device or accessory.
When you tap Settings > Wi-Fi and then tap next to the network, no values or entries for IP Address, Subnet Mask, Router, or DNS appear.
This can happen if, during the initial setup of the iPhone or iPod touch or after performing a software update or restore using iTunes, no Wi-Fi or Bluetooth address was registered.

Resolution

First, sync your iPhone or iPod touch to iTunes to backup your user information, Contacts, Calendar, and other data. Then try the following steps in order.

One

On the device, tap Settings > General > Reset > Reset Network Settings. Check to see if the device now displays the Wi-Fi address or Bluetooth address (tap Settings > General > About and scroll down to Wi-Fi Address or Bluetooth). If there is a Wi-Fi address and a Bluetooh address, then you're done with these steps and you can resync your settings and your media using iTunes.

If there's still no Wi-Fi address or Bluetooth address, then continue to step two.

Two

On the device, tap Settings > General > Reset > Erase All Content and Settings. Check to see if the device now displays the Wi-Fi address and Bluetooth address (tap Settings > General > About and scroll down to Wi-Fi Address or Bluetooth). If there is a Wi-Fi address and Bluetooth address, then you're done with these steps and can resync your settings and your media using iTunes.

If there's still no Wi-Fi dddress or Bluetooth address, then continue to step three.

Three

Restore the iPhone or iPod touch software (this erases all data on the device) using iTunes (see article 305744 for additional assistance).
After the restore is complete, sync your previous settings (mail settings, text messages, notes, call history, contact favorites, and so on).
Now see if your device shows a Wi-Fi address and Bluetooth address (tap Settings > General > About and scroll down to Wi-Fi Address or Bluetooth).
If there is a Wi-Fi address and Bluetooth address, then you're done with these steps. If there is no Wi-Fi address or Bluetooth address, then continue to step four.

Four

If there is no Wi-Fi address or Bluetooth address listed after doing the above steps, then your iPhone or iPod touch may need to be repaired. See the iPhone Service FAQ or iPod Service FAQ for additional service information.

Note: If the device shows an address in the Wi-Fi Address field and you are still having issues using Wi-Fi, refer to article 305715 for additional Wi-Fi troubleshooting tips. If the device shows an address in the Bluetooth field and you are still having issues using Bluetooth, refer to articles HT1843 and HT1664 for additional Bluetooth troubleshooting tips.