I'll answer. I have one of these setups myself.
Now, technically, what the phone can do hooked up to the PC depends on the phone, but almost invariably bluetooth-enabled phones will have certain capabilities: modem, fax, file transfer. Some of them will have an additional networking component so the phone can use the PC's internet connection, etc., and I've even seen one or two that can be used as remote sound devices. (e.g. headset, speaker, etc.) File transfer goes both ways, (usually) and the modem and fax capabilities are obviously PC->phone only.
Now as far as connecting up your PC to your phone, it's usually fairly simple. Most bluetooth dongles come with included software which should walk you through the process. If not, XP has a built-in bluetooth utility that is decent. (Though it has no support for headsets and some "serial port" devices, e.g. infrared) The most complicated part usually is finding the "enable bluetooth discovery" setting on your phone, so it's visible to the PC. Some phones you also need to change settings if you want your PC to be able to automatically connect to the phone without requiring you to OK it on the phone side via a popup.
Now I want to point out that the way the "modem" functionality works is, almost invariably, different than you might think. The phone doesn't work as a traditional modem, dialing a phone number and thereby using your minutes, but rather as a "fake" modem, so Windows can grasp the concept without throwing a rod, which uses your data transfer plan. (Your internet useage bandwith, if your plan has one) I'm fortunate enough that I was able to get a $20/mo unlimited data transfer plan on my phone, so I use it quite frequently when I'm on vacation in the middle of buttf%$# nowhere. The speed is roughly comprable to 56k, about 1.5x the speed if you're in a major metropolitan area, down to 14.4 speeds if you're on the edge of the coverage area. This is assuming your phone only does GPRS. If you have a phone which uses EDGE or any of the newer network protocols (you should know, they'll plug it thousands of times when they sell you the phone) then you can get significantly faster speeds (EDGE is roughly 3-5x 56k speeds, and it goes up from there) provided you have EDGE/etc. service wherever you are.
Umm... so enjoy!