Have you enabled bluetooth in the BIOS?  Once you've enabled it in the BIOS, and installed the adapter, you need to install the driver (which includes the software) for the card to work.
(EDIT): I have found the solution to this original post. It is posted on Page 6 of this thread. I just got a Latitude D820. It did not come with the built in bluetooth card, so I purchased a Dell TrueMobile 355 Wireless Bluetooth Card (Picture Front, Picture Back). The Dell part number is OCW725. When I plug it into the Bluetooth cable, Windows (XP Pro, 32 bit) pops up that it found a USB device, goes through the motions of installing the new device, and then tells me the new device is configured and ready to go. When I check Device Manager, I don't really see any new devices or changes to the hardware tree. I have tried installing several different driver sets (specifically, this one) from the Dell website, but none of them find the Bluetooth device, thus none of them complete the installation. I have spoken with Dell Support to ask about this bluetooth card, but the representative was less than helpful. Web searches have provided vastly varying solutions, none of which have worked for me. I would either like to find the correct drivers for this Bluetooth card, or find the correct Bluetooth card for this laptop, perhaps the one that would have come with it from the factory. Any help would be greatly appreciated.
Latitude D820 355 Bluetooth Drivers