How do I connect my bluetooth headset with phone ?

I got a new phone and need to connect my bluetooth headset to it. My phone is a LG Xenon (LG GR500R) and the headset is a Samsung WEP450. My old phone was a Sony Ericsson W580i. Whenever I try to pair my LG with the headset, it won't connect! It only connects with my old phone even though I pressed disconnect & deleted the deivce from it !!!

What am I doing wrong ? The LG Xenon says it can pair with bluetooth headsets so I'm confused :( if you can, please list step-by-step instructions on what I should do please :) the manuals aren't really helping me either :S

Thank You so much =) !
closed question ! jazzsy4's link really helped, thanks =)
 
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