actually, the reason why you automatically switch from EDGE to GPRS means that the area you are in has no EDGE.now if you go into an EDGE provided area(or move to another location where EDGE is available) it automatically switches back from GPRS to EDGE.there is no control or settings for switching from EDGE to GPRS or vice versa,this is a network access thing.
and as jdjleo mentioned above,EDGE is a much faster form of connection for GPRS.