This is a problem that usually occur in most Nokia (s40 and s60) phones when the phone Bluetooth is locked, you won't be able to connect with other devices, can't send files, and can't turn off the Bluetooth. It can also be locked for the purpose of not allowing dangerous user to spoil your phone. This is just a simple tutorial.
To lock the phone Bluetooth:
Press or dial on phone keypad *#9990#
To unlock the phone Bluetooth:
Press or dial ##9990#, switch off the phone and on it back.