I am flying in two days to Europe and already located a prepaid GSM provider with SIM that includes voice, SMS, and data.

Where the heck to I plug in the settings for the data? (I have Opera Mini and Gmail app, since I know BB email push and browser won't work).

Now I looked under Advance Options - > TCP. But there is room only for APN, usename, and passoword. No field for WAP IP or port number as the online instructions for GSM provider mention (they don't use BlackBerries, hence no specific instructions).

Thank you all in advance!

You don't need them.
Some phones (not that ive come across one) require that kind of thing (WAP IP) but not blackberries.
Just enter the details the blackberry requires.