In order to use your Windows Mobile 5 device as a Bluetooth modem for your Nokia N800 some extra effort is required. Blame Microsoft for that, because they are the ones who removed Bluetooth DUN (supported by all phones on the market?) and forced usage of Bluetooth PAN (only MS Windows Mobile devices and PCs?), which being a non-standard connection is not yet supported by the Maemo connection manager.
Firstly one has to create a dummy connection (required only once) via:
gconftool -s -t string /system/osso/connectivity/IAP/DEFAULT/type DUMMY
From that point on one can use the following two commands to establish the connection with the Windows Mobile Device.
pand -Q10 -n
udhcpc -i bnep0