I spent countless hours and I eventually figured it out. I am running Vista and using Windows Mobile Device Centre which is different to Active Sync and Windows XP. This is all very confusing to start with. If you using Vista then follow the instructions below.

Firstly you need Outlook 2003-2007. Pair your phone with your computer via Bluetooth. You will be able to see your device when you click on MyComputer if it is paired properly. Then you need to set up your synchronisation using the cable. When your synchronisation is working properly using your cable you can remove the cable and then work from your phone to connect using Active Sync. Click on Active Sync on your phone and once open click on the menu in Active Sync and choose connections. Choose Bluetooth connections. Once it's connected using Bluetooth you can sync as normal.

I hope this helps as I know how confusing it is and there is little support, even when I contacted Samsung helpline they could assist me and some consultants even said it isn't possible to sync via Bluetooth and that I need to use the cable. This is very inconvenient having to plug the phone in every time you enter the office.