Please download the latest version from the download area and install it. Just execute the installer. Afterwards you will find a new line for the power management on the today screen. Next time when you bond a Bluetooth device there will be an additional dialog after entering the pin and confirming the device name. Therefore you should first remove your device again if you bonded them already.
The "Today" screen
The icon on the left activates or deactivates Bluetooth. The clock symbol
switches automatic power off for Bluetooth on or off. When activated
(white backround as in the picture) then Bluetooth will be switch off after
60sec of inactivity.
The two battery icons on the right side let you switch between two profiles for
auto power off of the PDA and the back light. For example you may switch to the
second mode and adjust the settings to "always on" and "never switch back light
off". Thereby you can switch the PDA with one simple to "always on" when you
are in your car and want to use GPS navigation.
The profiles
Add your Bluetooth device as usual. You will get now a new dialog after
the last step:

Please note that currently only the following profiles are available
Headset/Car kit Serial port ActiveSync Modem
With this profile you may use your headset or car kit to make phone calls. Both headsets (headset profile) and car kits (handsfree profile) are supported and you may use up to 9 devices.
Bluetooth is switched on automatically on incoming calls. However it take some seconds until the connection to the headset/car kit is established. If you leave Bluetooth always on there is no delay.
Serial port
With the serial port profile you can use a device, which emulates a serial port, like a GPS receiver for example. After marking the checkbox you can select the desired port. Just click on OK and now your serial port is ready to use. Just start your application and choose the same port.
Just mark the checkbox below ActiveSync and click on OK. Now start ActiveSync from the Start menu. There is now a new entry in the menu of ActiveSync to use the Bluetooth connection. Naturally this connection uses data encryption to protect your data.

Note: To use the ActiveSync connection you must identify the virtual port on your PC and configure ActiveSync accordingly.
I could not try this function because I don't have a Bluetooth modem but it should work without any problems. Just mark the checkbox and click on OK. Now your modem is ready to use.