This article assumes you are using Windows 10, but I believe it would work similarly on Windows 8 or Windows 8.1, though Windows 10 is the version that finally got Bluetooth right as far as I'm concerned.
Step 1 - Make sure you have a Bluetooth adapter and that it's running.
Whether it's a USB dongle like the the one below, or whether Bluetooth is built into your system, you should see a little Bluetooth icon on your system tray, located on the bottom right of the screen.
Clicking on the arrow on the system tray will show you the logo:
Click on the Bluetooth icon and choose "Show Bluetooth Devices" and you should see the Bluetooth settings screen similar to below. Notice I have my headphones already paired.
Step 2 - Allow Connections To Your PC
Windows 10 doesn't trust any Bluetooth devices out of the box, so first you'll need to click on "More Bluetooth options" and you will see this popup dialog box:
Step 3 - Get Your PC Ready To Share Files
Make sure the "Allow Bluetooth devices to find this PC" is checked and then press the OK button.
Next, choose the "Send or receive files via Bluetooth" option on the Bluetooth settings screen, and you will see a new popup:
For this example, I will be receiving files to my PC sent from my Android 6 (Marshmallow) phone, which is probably the most common usage.
At this point, Windows will wait for an incoming connection from my phone.
Step 4 - Share From Your Phone
Choose some files or photos to share on your phone, such as a photo of a cute little dog, like my Zoey.
Pressing the little share icon in the lower right hand corner, I get a list of a whole bunch of ways I can share this photo. For this example, you'll want to click the Bluetooth icon.
You should then see your PC on the list of devices to share with. In this example, only my PC shows up on the list, clicking on the device name will start the process of sending the files, but you still have to go back to your PC to receive them.
Step 5 - Receive on your PC
At this point you should see a box pop up on your PC showing you the files being downloaded, like so:
Once your files are received, you see the finish screen:
My photo of Zoey is now on my PC! Notice I could put the file(s) somewhere else, but I just clicked the Finish button and put the file in my Documents folder.