You can use the Nokia Ovi Suite PC application to update your phone software. You need a compatible PC, a high-speed internet connection, and a compatible USB data cable to connect your phone to the PC

Configure the mobile phone's internet settings correctly, and then just instruct the DUN of windows to use a specific internet profile of the phone. (Part 1,2,3,4)
Ignore the internet profiles of the phone and configure the DUN of windows to send additional modem initialization for connection. (Part 1,2,6,4)

This document deals mostly with approach 1, since in my opinion this is preferred as this will then also allow you to use the phone for web browsing, as it's internet settings will then be correct. However, in some cases you may be forced to use method 2 (as for the Samsung D500).

Part 1: Setup of Bluetooth, Mobile phone setup
Part 2: Check if the Bluetooth Modem link has been configured.
Part 3: Setup op GPRS on the mobile phone
Part 4: Setup of Dial-up Networking (DUN)
Part 5: Connection issues
Part 6: Manual setup of the GPRS initialization.
Manual setup of a cellphone serial modem link via bluetooth