After I play a game, I get a message that this isn't working. I don't know what this is, let alone how to fix it. Can someone help?

If you have Zone Alarm installed it must be set to Medium for bluetooth devices to work. If you don't have Zone Alarm installed right click the bluetooth icon in the system tray and click "start" If your bluetooth dongle has a light (LED) on the end, check it's lit, if it's not lit then you could have a hardware problem.

If you right-click the Bluetooth icon in the System Tray does it have the "Start / Stop" option or does it say "Bluetooth device not found"?

If you have Zone Alarm installed it's settings must be set to Medium for bluetooth devices to work.

If you don't have Zone Alarm installed if there's an LED on the end of the dongle is it on or off ?

It it's off, right click the bluetooth icon in the system tray and click on Start.