For some reason the default Bluetooth driver that comes with Windows 7 and Vista doesn't have the "Turn Adapter On/Off" option, so you can't turn on the bluetooth...
To install the correct driver do the following:
R155395.exe(Wirless 360 Module with Bluetooth) (Don't do the firmware upgrade yet)
C:\Windows\infto a temporary location
C:\Windows\inf(otherwise it won't install the driver)
R155395.exeagain) and this time do the firmware upgrade.