I actually picked up that AT string from PalmOne's website.
http://www.palmone.com/us/support/ha...GSM_DUN_UG.pdf
It's a PDF on how to setup Bluetooth DUN with an Unlocked GSM phone.
My understanding for the extra "***1" is that it tells the Treo which connection settings to use. In this case, it is telling it to use connection profile #1, but the 1 could be replaced with any other number so long as a profile exists to tell the phone how to connect. For most users, "1" should work fine.
Also, my instructions were for the Bluetooth stack included with XP SP2, so for Widcomm it will have a different name.
Glad to see you got it working!