Windows will at best only recognize only devices on the HCL (Hardware Compatibility List): winqual.microsoft.com/HCL/ProductList.aspx?m=x&g=d&cid=&sv=bluetooth. If you device is on the list, or is a repackaged version of one that is, then Windows will automatically locate and install the driver when you first plug the dongle in - provided you didn't install the software that came with the dongle as per its instructions.
If Windows doesn't find the driver, try inserting the dongle's disk when prompted during device detection. This has never worked for me, but there's always a first time.
If none of that works, you have a dongle that only works with its own custom drivers. A lot of Bluetooth devices only work with 3rd party stacks like Widcomm, because they assume you want to use basic features that Windows doesn't support, like stereo audio and hands-free protocol.
It's not just dongles - most notebooks and netbooks with built-in Bluetooth require Widcomm drivers.
Anyway, the real problem isn't that Windows XP Bluetooth support is poor, it's that RIM is too lazy to support the other common stacks in their desktop software. The BlackBerry Bold has a bazillion Bluetooth services, most of which won't work with the Windows stack. So you have to choose between using Bluetooth audio and headsets or being able to use Desktop Manager.
You can send a (polite, please) suggestion to RIM here:
bbsuggestions (at) rim.com