I still cannot get it working.
So I tried something else. I took the sim card from my BB and put it in my nokia 6230i. This mobile phone can be used as a modem via Infra-red.
I can get a modem connection using the 6230i and the Vodafone UK WAP settings (wap.vodafone.co.uk) but not the GPRS one (internet).
Obviously since I'm using my BB to access my corporate email I must have GPRS activated (that's what my BB tells me in the upper right corner) but I cannot get it working when I tried to use my Sim Card to connect to GPRS as a modem.
On my BB I can browse internet, read my email, use Yahoo Messenger.
Any idea what am I missing?