I don't remember that I ever had to choose something in the car, only accept connection. And sometimes I got the message that the connection aborted
You definitely have to start the connection from the phone, that's what you need BlueVPN for. I don't think the car downloads anything from the phone. The phone is the master, the car is the slave!
Modern cars use Bluetooth modems the other way around: the nav systems needs Internet access for Google Maps or traffic information or whatever. If you don't have something like the Premium/Business phone option, the only chance for the car is to find a modem service in the paired phone. Mercedes is known to use Bluetooth DUN for this purpose, Audi uses Bluetooth PAN as far as I know. In 2008 cars had no use for Internet access...
I don't know if Nokia phones supported the Bluetooth DUN profile. Probably they do, but it will be hard to find out how to start a connection in their user friendly menu