Stepping right along
Here, Vista has generated the passkey, which I enter on the other device (you can see what the Mac pairing dialog looks like below the Vista dialog). Once entered, Vista installs the Bluetooth device.
On the Mac side, you can see that even though it is pairing with a computer, the Mac is able to add phone-specific features, such as sharing the PC's Net connection and grabbing audio off its sound card. This, too, can be confusing if you selected the wrong kind of device to begin with.