Most Windows Mobile devices are coming with a Bluetooth connection which can be used in a number of ways to connect other computers, such as your laptop.
Pair Your Windows Mobile device with your PC
Before you can use a Bluetooth connection you need to pair the devices.
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Pair Windows Mobile 5.0 or Windows Mobile 6 with Your Windows XP or Vista Machine
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Pair Windows Mobile 2002 with Your Windows XP Machine
Using Your Bluetooth Connection
Now that you have paired the devices, what to do with that connection.
Enabling Internet Sharing
Internet Sharing is a new feature of Windows Mobile 6 which allows you to use your PDA's internet connection with a Windows XP or Windows Vista laptop.
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ActiveSync
The main reason for Bluetooth use on Windows Mobile is for ActiveSync.
Windows Mobile 5.0 and Windows Mobile 6 ActiveSync over Bluetooth
Windows Mobile 2002 ActiveSync over Bluetooth
If you are using an older version of Windows Mobile then these instructions will help you configure ActiveSync to use Bluetooth.