Right, since i don't know what network you're on, you'll need to bear with me:
Start off with going into mobile network options (Settings->Wireless & Networks->Mobile network settings)
Go into APN's (Access Point Names)
Menu-> New APN
From here on in, choose your network and just enter the details into the screen on the phone:
O2 Pay Monthly:
Tap New APN
Tap Name then tap the text box and enter O2 Pay Monthly then tap OK
Tap APN then tap the text box and enter wap.o2.co.uk then tap OK
Tap Proxy then tap the text box and enter 193.113.200.195 then tap OK
Tap Port then tap the text box and enter 8080 then tap OK
Tap Username then tap the text box and enter o2wap then tap OK
Tap Password then tap the text box and enter password then tap OK
Skip past Server as this is preset as Not set
Tap MMSC then tap the text box and enter
http://mmsc.mms.o2.co.uk:8002 then tap OK
Tap MMS proxy then tap the text box and enter 193.113.200.195 then tap OK
Tap MMS port then tap the text box and enter 8080 then tap OK
Tap MCC then tap the text box and enter 234 then tap OK
Tap MNC then tap the text box and enter 10 then tap OK
Tap Authentication type and tap PAP
Tap APN type and tap Internet + MMS
Press the Menu key
Tap Save
Tap the circle next to the new profile so a green dot appears in it
O2 PAYG:
Tap Name then tap the text box and enter O2 Pay & Go then tap OK
Tap APN then tap the text box and enter payandgo.o2.co.uk then tap OK
Tap Proxy then tap the text box and enter 193.113.200.195 then tap OK
Tap Port then tap the text box and enter 8080 then tap OK
Tap Username then tap the text box and enter payandgo then tap OK
Tap Password then tap the text box and enter password then tap OK
Skip past Server as this is preset as Not set
Tap MMSC then tap the text box and enter
http://mmsc.mms.o2.co.uk:8002 then tap OK
Tap MMS proxy then tap the text box and enter 193.113.200.195 then tap OK
Tap MMS port then tap the text box and enter 8080 then tap OK
Tap MCC then tap the text box and enter 234 then tap OK
Tap MNC then tap the text box and enter 10 then tap OK
Tap Authentication type and tap PAP
Tap APN type and tap Internet + MMS
Press the Menu key
Tap Save
Tap the circle next to the new profile so a green dot appears in it
T-Mobile:
Profile name T-Mobile Picture Messaging
Homepage/message server
http://mmsc.t-mobile.co.uk:8002
Use proxy Yes
Proxy IP address 149.254.201.135
Proxy Port 8080
Connection Security Yes
Session Mode Permanent
Internet Mode http
Multimedia Reception Always
Request Read/Delivery Reports No/No
Accept Advertisements No
Accept Anonymous No
Maximum Message Size max 300 KB
APN general.t-mobile.uk
User Name user
Password tm
Prompt Password Off
Authentication PAP
IP Address Dynamic
Orange:
Name = Orange Internet
APN = orangeinternet (case sensitive)
Proxy = Ignore, Leave as <Not set>
Port = Ignore, Leave as <Not set>
Username = Ignore, Leave as <Not set>
Password = Ignore, Leave as <Not set>
Server = Ignore, Leave as <Not set>
MMSC = Ignore, Leave as <Not set>
MMS proxy = Ignore, Leave as <Not set>
MMS port = Ignore, Leave as <Not set>
MCC = 234
MNC = 33
Authentication type = PAP
APN type = default
APN protocol = IPv4
Bearer = Unspecified
press Menu, then select Save