shouldbe built in...

goto start, settings, connections, connections and thats where the GPRS settings are (you dont dial phone number on mobiles)

you should see connections in there for the niternet with O2's settings in there.

if not, ring O2 customer services/tech support and they can talk you through it all.

it should be as simpleas going to internet explorer, and the phone will conenct however it can to thenet and just work... out of the box