Bluetooth Com Ports

I have a bluetooth DIP module with a BGB203 IC. My computer recognizes it and assigns outgoing to com 3 and incoming to com 4. I’ve opened two hyperterminal windows one for outgoing and one for incoming. In data mode, if I connect the TX and RX pins together I can send a character and recieve it in the same terminal. My assumption is that I should be able to put the device in command mode (+++) and then send commands that will generate a response in my incoming terminal window. What am I missing here? It isn’t working. Is my device entering command mode or not?

As far as i know you can only enter command mode with +++ when the module is directly connected to your pc