Open your bluetooth settings either by long pressing the icon in the notification shade, or opening the settings app and navigating to them there. Now turn on your bluetooth device, and set it to discoverable mode. How to do this varys, and can either be found on the web, or in your devices manual. On your phone, tap the search button and look for the devices name, this will also vary per bluetooth device/model. Then tap pair and it should connect from there.