First of all, make sure your interface is set up properly, i.e. your Infra-red port or Bluetooth is mapped to a COM port. If you are using a serial cable, this shouldn't matter. In the screenshot below, I am checking whether my Infra-red port is mapped to a COM port:
Next, go to Control Panel -> Modems
Click add on the window shown above, then select 'other' and press next
Check 'Don't detect my modem' and press next
Choose 'Standard 33600 bps Modem' out of the Standard Modem types, and press next
Select the port your phone is present on. As my phone was connected via infra-red, I selected the Virtual Infrared COM Port. Press Next
Click Finish
Go to Control Panel -> Modems and open the property sheet for the 'Standard 33600 bps Modem'
Click the 'Connection' tab, then click 'Advanced Connection Settings'
In the Extra Settings box, type:
+CGDCONT =1 , "IP" , "apnaddress"
Replace
apnaddress with the APN Address of your provider. For Orange, this is simply orangeinternet - You can check this by looking on your phone data account settings,
or for UK providers, visit this site for a list: http://www.filesaveas.com/gprs.html
Please note, the commas have a space before and after.
Now click OK
Now, go to Dial-Up Networking in Control Panel or My Computer, and click 'Add new connection'. Give any name to the connection you want, just be sure to select the 'Standard 33600 bps Modem'
Remove anything in the area code box, and type
*#99# in the telephone number box, and click next
Click Finish
Now, double click the connection in Dial-up Networking. Enter the username and password associated with your provider - A list can be found here: http://www.filesaveas.com/gprs.html
Next, click Dial Properties, and in the 'For Local calls, dial' box, enter a *
Now click OK
Now you can click connect, and if everything was entered correctly, it should work.
All the settings shown in this tutorial is for Orange UK.