Having problems with Bluetooth.?

Okay, i have a simple question and i was hoping somebody could lend me a hand here..
I just purchased a cell phone..
I have a bluetooth headset..
So, i cruised to the settings on my phone, and enabled the bluetooth feature, and i set the discovery mode to ON.
Then i turned on my bluetooth headset, and i clicked SEARCH on my phone, and my phone can't seem to locate the headset.
I don't understand, i'm holding them both fairly close to each other, Yet all it says is 'No devices found'..

Anyway to resolve this?
 
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