I fitted a new Wifi card into my Samsung Q300 (that's a story of its own...!) because the included one was a really toss version of 802.11n wireless that did a pathetic 72mbps. The new one is an Intel 7260, which does 802.11ac and has Bluetooth 4.0 (and 3.0, 2.1 etc).
After getting the Wifi up and running, I had Bluetooth working but unreliably. My bluetooth keyboard kept dropping out, and getting my Nokia BH-103 headset working was impossible. Windows would pair with the device but had no drivers for any of the services. I wanted to at least use it with Skype, and hopefully as a backup audio-out device as well (A2DP).
The first thing I had to do was to install the Intel Bluetooth 4.0 driver package over the top of the Microsoft Generic Bluetooth adapter. I know this is a bit out of the scope of this particular thread, but worth it for anyone who stumbles across it with the same setup as me. The generic MS stack doesn't support the audio profiles for this device and, from the frustrating accounts on other forums, the same is true for many other bluetooth headsets.
After this, I had the problem that the OP had on this thread. The audio devices appears in the Windows 7 "sound" dialog, but they were Disconnected. Right-clicking and clicking connect did absolutely nothing.
I had tried right-clicking on the device in the Bluetooth Devices dialog (in control panel) and ticking all the Services box on the services tab. Still nothing. Skype hadn't yet seen the device either. As others on the thread have tried to explain to those still thinking the problem is with pairing or drivers: The device is paired and drivers are installed. It just won't "connect" according to Windows.
The solution is to double click the device, and in the "operations" section of the device dialog, click "Listen to Music" (or whatever the feature is that you want to use). You then see a "connecting to bluetooth service" message, and after a few seconds you should be able to select the device as an audio-out.
I hope this solved the issue for some people.