Bluetooth Insignia Headset

I have the wireless insignia bluetooth headset. IT comes with a usb bluetooth dongle to plug into your computer. I can get this working with my pocket pc phone. However, i cannot get it connected to the usb dongle. The manual shows a multifunction button, but it does not have that same button on the headphones. on mine it was all the outer buttons and near the insignia sign it has a phone icon which is a button(power on/power off) and it has a play/stop button.

Does the software need to be installed on yoru computer for it to be working? The software will not even install onto my computer. Ive called up insignia but i could not understand the lady and we got disconnected. Thanks for anyone that can help.