Why can't I get my zune player bluetooth adapter to pair with a headset?

[Windows Central Question]

I have a zune player that works great. I want to use Bluetooth headphones and bought a set. I also bought an adapter for the zune that is said to be compatible. However, I am having trouble pairing the devices. Anyone out there know how this works? I am pretty tech impaired and could use a video how to.
Thanks for any information you can provide.