If you use a MicroSD card in your phone, I would recommed getting a Micro-SD to SD adapter and using a USB 4-in-1 or SD memory card reader to directly access the content of the card. This way you can copy music and Java software directly to the card without using phone software or Bluetooth. You can pick up a Micro SD card with SD adapter at some PC stores and camera shops. From my experience at least with my Nokia, using a card reader goes at least 10 times faster than with Bluetooth and still several times faster than using a USB cable with the phone.
If you would like to try getting Bluetooth working, you need to pair the phone with the Bluetooth adapter before the Samsung software will see the phone. I'm not sure what menu you will need to check, but it should be an option such as "Pair new device" and select your PC from the list it finds. It will ask you to enter a security code (just make one up, e.g. "876123") and then enter this same code on the PC when it asks if you would like to accept the pair request. Afterwards, the PC software should be able to detect the phone.