I'm sure I heard that one of the shit things about 3 is that they don't let you do this...
All you normally do is setup a dial-up connection on your laptop, with the "Standard Modem over Bluetooth Link" (or perhaps "Nokia E65 Bluetooth Modem" if that's what it's installed as) as the modem, and have it dial the special GPRS number: *99#
With some handsets, Nokia more often than not, you have to specify an init string in the modem's "advanced properties > extra init commands" through control-panel like this:
at+cgdcont=1,"ip","apnname"
(where apnname is the apn you want to use, which in my case would be orangeinternet, in yours it'd be 3 or 3mms or 3wap or whatever).
You may also want to try varying the 1, as this is meant to specify which connection profile is used on the phone (there are usually three or so setup by the provider). My Sony Ericsons never needed this, but all my Nokia phones have.