I hesitate to say this, but a friend of mine used to have a nokia phone, and sometimes they wouldn't connect... It could have been a few reasons...
1. The carriers?
2. Phone types (ie. not nokia to nokia but rather nokia to palm etc..)
3. The type of file you are trying to send might not be accepted by one (phone?)
4. Check that bluetooth is on the iPhone in the top right hand corner you should see a little blue "B"
5. The nokia phone is "discoverable".
That's my best guess until you can clarify what the ISSUE is and the COMPONENTS that are involved... Best of luck