First you need to make sure the Bluetooth is turned on, on the phone.
Second, make sure the Bluetooth device you are trying to use is functioning and has a working battery. Dead battery = won't work.
Third. Turn on the Bluetooth device you are wanting to use with your phone and then have the phone 'search' for devices.
If you can't find the device in your list, try restarting the phone. Should it still not show, I would try connecting the Bluetooth device to a different phone, tablet, laptop, etc., and see if it works. If it doesn't, then there is something wrong with that Bluetooth device. If it does, then there is something up with your phone. Then I would look into making sure the phone is completely updated and try again.