You don't have a data connection?
You will need to configure the connection manually. You can do so by:
- Opening up the settings panel
- Clicking 'Wireless and connections'
- Clicking APN settings (NOT VPN!)
- Pushing your 'menu' key, and click 'Add'.
- Enter your provider's settings. If you don't know them, google them!
- Push the 'menu' key again, and press 'Save'.
NOTE: You need to enable the connection from the 'APN settings' menu.