Sometimes this is caused by a provisioning issue. Make sure the media.net pay per use is provisioned. You need to have access to the ISP.CINGULAR APN to be able to use the BB as a modem IMO. I may be wrong though.
9700 on 6.0.0.something, BES 4.1 on Exchange, BIS (AT&T)
Ex 8700, 8800, 8100, 8310, 9000