If you don't have the Widcomm software already installed then check out this website http://www.jonsguides.com/bluetooth/ (Thanks to Meatgrinder for the link)
The first thing you need to find out is what COM port your pc is going to accept the connection on. To do this right click on your bluetooth icon in the system tray -> choose advanced setup (or similar option)
Next choose the tab named Local Services. In the list there should be a Bluetooth Serial port listed. Make a note of the com port it is assigned to.
Next go into the connection settings for Active Sync and from the com port list choose the port that you noted above.
Now you can pair your phone with your pc if you have not already done so. You can do this by going to the bluetooth setup on the phone (E200/C500), Choose Menu -> Devices, Menu -> Add.
This should search for new devices and list your pc. Select the device and enter a pin number on the phone. The pc should then ask for the same pin number.
Once the pairing is complete, Go to active sync on your phone and then choose Connect via Bluetooth.
If all goes well then active sync should kick into life and your phone should sync.
Of course if it does not work then have a look around the forums for various issues that people have come across.