If you're running WinXP without Nokia suite, right click on the Bluetooth icon in the tray and pick "receive file" It should open a dialog box. Just follow the instructions. When you send from your phone XP should prompt for a location and if you want to change the file name, etc.

If using Ububntu, OBEX push doesn't seem to work, although I didn't bother to get it going. Just select the phone in the drop down (under the BT icon), click "browse files" and it acts like any other drive.

You're on your own for other OSs.