I had similar problem last couple of days

and then I uninstalled everything and installed from the beginning. The COM port thing is quite complicated (USB and Bluetooth) so I followed the following advice from Readme file. Now everything works fine

You may have different bluetooth but the basic concept is the same. Hope it helps.
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6.3 CONFIGURE P800 FOR PC CONNECT OVER BLUETOOTH
(SYNC, FILE TRANSFER ETC.)
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Info:
When you connect a computer with P800 over Bluetooth then two COM
ports are involved. First the computer uses a COM port to connect to
P800. When this happens P800 will close that connection and open a
new connection, which will be used for PC Connect (Synchronisations
and file transfer).
Note: It is not possible to make a backup or restore over Bluetooth.
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6.3.1 TDK BLUETOOTH USB ADAPTOR OR TDK BLUETOOTH PC CARD
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Preconditions: Bluetooth SW and HW installed. PC Suite for P800
installed. Windows 2000, Windows XP or Windows ME.
TDK Bluetooth SW version 1.3.2.19 is used for this description.
If you are using another version it might work slightly different.
First you have to pair your phone with the computer. This only has to
be done once.
Phone:
1. Go to Control panel -> Connections -> Bluetooth -> Settings
and select Discoverable as Operation mode.
You can also give your phone a more personalised bluetooth name.
2. When finished tap Done.
A Bluetooth icon appears in the status bar on the phone.
Computer:
3. Open My Bluetooth Place (Found on the desktop or the right menu
in TDK Bluetooth icon in system tray).
4. Double click on My Device.
5. Right click on My Bluetooth Serial Port and select Properties.
Check which COM port is set. Remember this COM port.
6. Right click the Phone Connection Link icon in the system tray
and select Properties.
7. Now make sure the COM port found above is selected.
8. Close Link Properties.
9. Go to My Bluetooth Place and double click on Find Bluetooth
Device (or Search for devices in range).
10. An icon will appear for each bluetooth device found. Right click
on the icon with the name you have given your phone and select
Pair Device.
11. Type a code for example ‘123’ and then click Ok.
12. After a while a dialogue is asking for a passkey on the phone.
Type the same code as above and tap Done.
Now your phone and computer are paired.
The following steps shall be done when you want to connect your phone.
If you have just paired your phone and computer then your phone is
set to Discoverable. Normally when you like to connect the phone it
is recommended to be set to On.
13. In My Bluetooth Place right click the icon for your phone and
select Connect Bluetooth Serial Port. If this menu item doesn’t
exist then you shall select Discover Available Services. From now
you will have this menu item. Go back and select it.
14. You will get a Connection Request dialogue on your phone.
Tap Accept. The phone icon and the Bluetooth icon in the system
tray turns green to indicate that the phone is connected.
15. Now you will probably get a dialog telling you that the Bluetooth
Serial Port failed: The remote device closed the connection.
This is correct behaviour. (See the info 6.3)
16. If this is the very first time you connect this device you will
get a wizard asking for a name (Go ahead with this wizard).
Otherwise you are connected and a phone icon will show up in
system tray.
Now your phone is connected and you can start to synchronize or
transfer files.
Tip: You can also connect the phone from the system tray icon.
Select Quick Connect -> Bluetooth Serial Port
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6.4 CONFIGURE P800 AS MODEM OVER BLUETOOTH
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These chapters will describe how to configure different Bluetooth
products to be set up for modem use over Bluetooth. When you have
followed the instructions you are strongly recommended to install
the Sony Ericsson P800 Bluetooth (TM) Modem. (See Chapter 7 and 8)
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6.4.1 TDK USB ADAPTOR OR TDK PC CARD
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Preconditions: Bluetooth SW and HW installed. PC Suite for P800
installed. Windows 2000, Windows XP or Windows ME.
TDK Bluetooth SW version 1.3.2.19 is used for this description.
If you are using another version it might work slightly different.
1. First you have to pair your phone with the computer. This only
has to be done once and is described in chapter 6.3.1 (step 1 to
step 12)
2. Open My Bluetooth Place (Found on the desktop or the right menu
in TDK Bluetooth icon in system tray).
3. Double click on Find Bluetooth Device (or Search for devices in
range) and then double click on your Sony Ericsson phone.
4. Double-click on the Dial-up Networking on <your phone name> icon.
5. Click properties.
6. If the dialog Bluetooth Connection pops up continue to step 8, if
the Bluetooth Properties dialogues pops up then click
Configure... and continue to step 8, otherwise the dialog Location
information is shown, fill in an area code (any number, for
example 1) and then click OK.
7. Click the Cancel button.
8. Note which COM port that is used for Bluetooth modem, for example
COM15.
9. Now click cancel to leave the Bluetooth connection dialog. And
click cancel again to dismiss the previous dialog.
10. Right click on the Phone Connection Link icon in the system tray
and select properties.
11. Make sure the COM port you got from step 8 is NOT selected then
close the dialog.
12. Open Phone Monitor Options found in the Control Panel
13. In the COM ports tab make sure the COM port you got from
step 8 is Enabled.
14. In the Setup tab. Select “Only display the icon when a phone is
connected” and then Click OK.
15. Wait until the Mobile Phone Monitor icon appears in the system
tray, (This can take more than 30 sec). If a wizard appears then
follow it to the end.
If you like to set up a Dial-Up Network Connection go to Chapter 7.
Otherwise you shall go to chapter 8 for description on how to install
Sony Ericsson Bluetooth (TM) Modem. Remember the COM port you got
from step 8.