Typically, there's a pairing process and a connection process.

Pairing is the process of having both devices acknowledge that they are designed to work together and that they are authorized to work together (via a 4-digit code). Since data is being transmitted from one device to another, you can set a passcode to prevent unauthorized data transmission. Typically, once the pairing is complete, you never have to reauthorize again (unless you manually delete the paired device(s)).

Connecting is actually getting them talking. It's likely you've paired your phone, but it's not currently connected. Some cars will auto-connect once it's paired. Others might require you initiate the connect from the car-side the first time. This was true for the Evo, since the car asks the Evo for permission to download contacts. I had to accept the request on my phone before the connection would be complete. From then on, the connection is automatic.

To initiate a connection from your car, check your car's manual. To initiate a connection from your Evo, go to Settings > Wireless & Networks > Bluetooth Settings. Look for your car under "Bluetooth devices" toward the bottom of the screen. Click the entry for your car to attempt a connection.