Hi, maybe late, but here is a good place where you can find example code about how to perform SDP, with microsoft's bluetooth APIs:
http://www.lenholgate.com
About data transfer between devices, I'm still working on it. I'm new to visual C++ and MFC, so I'm finding a little bit difficult to achieve the goal of creating a piconet. I think now I am close to it, and if any one knows anything about the topic of bluetooth piconets, don“t hesitate contacting me.