In my experience in this forum, a common problem that users face when trying to connect a Bluetooth device to their PC is putting the device into discovery mode. Your device has to be in discovery mode in order for your PC to 'discover' it, which makes it possible for the device and the PC to pair.
Every device has its own particular way of going into discovery mode; it often requires holding down a button on the device. Instructions should have been included in the box when you got the device, or they can be found on the device manufacturer's website.