How do I setup my bluetooth for the PS3?

Bluetooth?

Is it the official PS3 headset, or a third party headset?

If it is the officail PS3 headset, while on the home screen, just plug the headset in using the USB cable and the headset will automatically Pair.

If it is a third party headest, then no one can help you, because each headset is different when putting it into Pairing mode. You need to look for the Owner's Manual online (you will need the model number of the headset) in order to figure out how to put the headset into Pairing mode. Once the headset is in Pairing mode, scan for it using the PS3, then enter four zeros (#0000) when it asks for the PIN (all Bluetooth headsets use four zeros, no matter what headset it is, even the official headset can be Paired this way).

If you supply the model number, some one may do some research and try to find the instructions on how to put your headset into Pairing mode (if it isn't the official PS3 headset).