Here's an easy way to test your HC-06, and the comms with the host/client. Just short its Tx and Rx, power it up (3.3 or 5, depending on whether you have the bare version or the one on a backpane).

Anything you type on your terminal should echo back whatever you type. A simple test, no pic involved, no baud rate issues.

Incidentally, you could also test on an Android, instead of a Windows machine. There's a beautiful terminal emulator called Blueterm on the playstore.

Regards,

Anand