Then I had a study from google, tried to find way to configure it manually. And here is the solution, you need to configure the phone connection manually, not wizard. First, pair the phone with N800 on bluetooth, then go to the N800 Connectivity setting.
Connections -> New -> Next -> enter Connection name, choose Packet data -> enter "three.co.uk" as Assecc point name, "*99#" in Dail-up number, and leave others blank -> Next -> Finish
I can connected the N810 to the 6120 without any problems, and I have tried manually setting up a connection or using the wizard (the wizard trues to dial *99***1# but as soon as I try to make the connection I get the error message:
Connection failed to phone Nokia 6120 Classic. Try again?
I can connect my laptop through the phone using usb or bluetooth (using *99#) without any problems.
Can anyone suggest anything that might help solve the problem?