Go to About this Mac, click More Info, then in System Profilers left column click Bluetooth.
Scroll down until you see the Services available from your phone and check how it's configured. I don't have a Nokkia so mine looks like this:
Mich'sK700i:
Name: Mich'sK700i
Address:
(MAC hardware address deleted)
Type: Cellular Phone
Services: HF Voice Gateway, Dial-up Networking, OBEX SyncML Client, HS Voice Gateway, Serial Port, Serial Port 2, OBEX IrMC Sync Server, OBEX Object Push, Mouse & Keyboard, OBEX Basic Imaging, OBEX File Transfer
1) Is Dial-up Networking enabled
2) Have you set the ISP POP phone number, login name and password in the phone itself
3) Can you access WAP browsing from the phone directly