I vaguely recall reading somewhere that connecting to HC05/06 chipsets with anything but CP2102 based converters is sketchy. Still, make sure you've got your wiring correct (i.e., TXD → RDX, RDX → TDX, etc.) and make sure the COM port you're connecting to in your terminal emulator is the COM port assigned to the USB converter. If that's all correct, try using a different terminal emulator. I tried several and at least one of them balked with the BT2S no matter how I configured it. Also, make sure the BT2S is in seek mode while configuring it - i.e., make sure it is not paired while trying to change the configuration.
If none of that works, try a CP2102 based converter. If you're patient, you can get one on ebay from the pacific rim for less than $2. If you want it sooner, you can get one for ~ $5 from a US seller.
Post your findings. It may help some other folks out.
I appreciate the suggestions. The CP2102 I ordered from Hong Kong finally came in the mail yesterday and I was able to get it to work.