Just because it took me a disturbingly long time, and a web search didn’t immediately answer my question. And the imate SP3i / SP3 / O2 sites weren’t immediately gratifying. Mine’s Windows Mobile 2003 SE.
0. Purchase and charge the headset, then get it ready according to the manufacturer instructions.
1. Go Start, Settings, BT Setup.
2. Once in there, use the Menu soft key to pick Devices.
From there, it’s easy, just pick the device and follow the instructions from the headset manufacturer.
Makes me long for a wireless future where charging is also wireless.