In (or) Settings > Wireless & networks > Bluetooth, make sure the switch is in the ON position.
Launch the pairing process following the procedure written in your Bluetooth® headset's user guide and then press Search for devices on your device.
The list of headsets in pairing mode will be displayed. Then press the name of the device you want to connect.
Depending on your headset, a specific procedure may be required, please read the user guide of your Bluetooth® headset.
Once connected, you will have access to several options depending on your device by pressing beside the name of your headset.