Then you do not have data.
You should see either GPRS or 3G (with dots after it) to indicate you have data.
gsm, gprs or 3g indicate no data.
The data plan is not correctly provisioned.
Call O2, asking for TECHNICAL support (not customer services) and explain the problem.
"That's it then. Cancel the kitchen scraps for lepers and orphans, no more merciful beheadings... and call off Christmas."