One of the first things I noticed, was that no LED's light up, but since the device showed up when discovering BT devices, I pushed forward.
Since I'm running Windows 7, I downloaded TerraTerm to connect to the BT Module wirelessly. If your laptop does not have BlueTooth, you can get a $2 USB adapter here.
First, make sure you pair successfully. HC-05 showed up in my discovered bluetooth device list. My Terraterm found two com ports, 11 and 12, but uses 11 to receive data from the Arduino.
I uploaded the following sketch to the Arduino which is transmitting data from the Arduino wirelessly to my laptop (and to my android smartphone as well):
SoftwareSerial mySerial(10, 11); // RX, TX
// set the data rate for the SoftwareSerial port
void loop() // run over and over
Re-programming the HC-05 - http://www.instructables.com/id/Modify-The-HC-05-Bluetooth-Module-Defaults-Using-A/
Uploading sketches over Bluetooth - http://letsmakerobots.com/node/30915