Your iPhone is capable of detecting any supported Bluetooth device within range. However, it does not automatically connect until you first pair the device with your iPhone. When your iPhone connects to a Bluetooth device the first time, it remembers the device for the next time. This way, when you turn on the Bluetooth device and bring it within range of your iPhone, it will automatically connect.
Put the Bluetooth device into "discoverable" mode. The exact steps will vary based on the manufacturer and model of the device. Consult the documentation.
Touch the "Settings" icon on your iPhone.
Select "General," then touch "Bluetooth." Wait for your iPhone to detect the Bluetooth device and display it in the list.
Touch the new device in the Devices list, then enter in the password, if necessary. The password is usually provided with the documentation that came with the device. Wait for the pairing process to complete before using the Bluetooth device.
You can force your iPhone to "forget" the device. This prevents your iPhone from automatically connecting to it. You must then perform these steps again to enable your iPhone to automatically connect to the device.