When Bluetooth is turned on in the phone, the spinning wheel will continue even when connected, as long as it it turned on. Whatever device you are trying to connect to also has to be in discover or pairing mode for the phone to see it. What are you trying to connect to?
Does the Nokia headset support Bluetooth version 4, which is what was delivered on the iPhone 5. It could be the two are not compatible. I'm not sure if the iOS updates for the 3GS & 4 would update Bluetooth, but are all of the phones on the same iOS?