Your carrier probably requires APN info to get connected. You can set the APN data in your device options (TCP Options), or you can control it programmatically by appending the APN info in your URL.
On the simulator, you do not need APN info.
For AT&T:
AT&T
Gateway IP: 10.250.250.250
Port: 9201
APN: proxy
Also, see this article:
Livelink - Redirection