On this post, I'll cover the PC-side configuration needed to communicate with a HC-06 bluetooth module. For more information about the HC-06 module per se (pinout, recommended electrical connection, AT commands and more) check this post.
The process is straightforward in Windows.
Double click the Bluetooth icon in your taskbar. Or alternatively, go to Control Panel > Hardware and Sound > Devices and Printers > Add a device.
On this new window, click on the "Add a device" button in the menu.
Discovery of bluetooth devices.
Windows will start searching for nearby bluetooth devices (your HC-06 module should be powered by now).
From the list of discovered devices, select your HC-06 module. You should be able to see it's name (linvor is the default name) and it should be listed under the Other category.
On the new window, select the "Pair without using a code" option.
Pairing with the HC-06 module
You should see the "Installing device driver software" bubble by now. When the installation is done, we'll be able to check the properties of the HC-06 module. Right click on the device and select properties. The important information is under the "Services" tab of the properties window.
Checking the HC-06 module properties.
After pairing with the HC-06 module, it will be registered as a "COM" port, and you'll be able to communicate with it, using any serial port emulator (e.g. qSerialTerm)
On the first connection to the module, you'll be asked for the pin (the default pin is 1234).
Inserting the pin on the first connection.
That's all, go ahead and play with your bluetooth module.
Testing the bluetooth module.