After establishing a bluetooth connection with another device from your computer the other device will propably stay in the Devices section of My Computer even after the connection is cancelled.
To remove that device follow these steps:
Open the control panel and head to View devices and printers under Hardware and Sound:
You will be presented with all the devices that are connected to your machine: printers, hard drives, input devices etc. Find the one that you want to remove, right-click it and remove it: