You have the phone visible?

I think WM phones in general use PAN, which isn't supported natively, rather than DUN; I'd still expect it to detect it, but not be able ti use it. Maybe try again after you get through initial setup.

You may have to update to at least Chinook, if it's not there already; I don't think the package for PAN works with OS2007. Diablo, on the other hand, has a bug which broke PAN support, and they're still working on fixing the bug. PAN can still work, though; search for the thread about PAN and Diablo, there's a workaround there. I'd recommend the Diablo upgrade.

EDIT: Yeah, like he said.