Yes, when you pair the device (on Windows anyway), one of the services to activate should be Internet access (I think it was called "Internet Pass-through" but don't quote me on that). Your PDA would then be able to connect to the Internet by connecting to your PC. (I'm pretty sure there's Mac OS X and Linux ways to do this, too.)
You could also get a Bluetooth access point, which acts similarly to a WiFi access point, but with BlueTooth instead of the 802.11 protocol(s). These normally cost more money than a PC BlueTooth adapter, and would only be useful if you have a network.
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