Bluetooth Dongles tend to be the most awkward devices to get going right and are quite picky about their drivers. Plugging in the dongle and relying on Windows to find the driver generally does not work, as the drivers are usually part of a setup package.
I would suggest leaving the dongle removed and running the installation software from the CD. Once it completes, you can try plugging in the dongle.
If you are interested in pairing your phone to back it up or to add files to (e.g. music), I would completely avoid the Bluetooth route and get a USB cable instead to connect the phone. For example, a backup process that would take 1 minute with a cable could take well over an hour with Bluetooth and that's assuming Bluetooth manages to keep its connection for this duration.
The only time I would suggest using Bluetooth between the PC and phone is for reading and writing SMS messages, loading apps and accessing the phonebook, as these are really the only tasks that work reasonably well over Bluetooth.
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