You can't simply connect to the Internet using your phone. You must have the right settings to connect to the Internet.
Based on your error, you may have the wrong access point name (APN), which must be set using your Bluetooth connectivity software or can be set as follows:
Control Panel > Phones and Modems > Modems > select your modem (will be named "Bluetooth DUN modem" in many cases) > click Properties > Advanced > specify the APN provided by your service provider > click Apply > click OK.
Now restart your computer and try connecting again. If it still doesn't work try uninstalling and reinstalling your modem.