Be sure to read the 'Wireless' page for general information before you read this page.
THIS PAGE on ev3dev.org gives instructions for setting up a Bluetooth connections to the PC and onward to the internet for Android, Mac OSX and Ubuntu, but not Windows (as of 2 September 2016)!
Most of the time when doing EV3 Python programming you will not need to have a connection between the brick and the internet and in that case you can use 'tethering'. Setting up Bluetooth tethering is explained on this page for Mac OSX and Ubuntu but if you have a Windows 8 (or Windows 10?) PC then you will need to struggle through this page or wait until a proper tutorial has been created. If you have Windows 7 then that page may not help you and you may need to wait even longer...