You need to set the Access Point Name settings (APN) in the phone for your wireless carrier. A simple google search would have found these settings which I just copied and pasted here with a few typo fixes:
On the device, tap the Menu icon (or Applications > Menu)
Select Settings > Wireless & networks > Mobile networks > Access Point Names.
Remember to hit Menu, Save, then tap the round button to highlight it which enables the new APN. Give it a few minutes and you will see the 3G/H icon and arrows in the status bar at the top. You're good to go.