Have you activated the APN in the list?
It should look like “EA WAP*** O” by default, where O is a circle. If you touch that circle, it should turn green, which means APN is enabled.
Make sure that in your Settings, you have “Data enabled” checked as well.
Once that is as well verified, head to “About Phone” → “Status” and check the Network Type. It should say GPRS, EDGE, or something like that.