The below no longer works, I think it was probably a loop hole which has been closed by O2.
Be aware that Virgin, Orange, T-mobile and Vodafone all offer a full GPRS service to their pre-pay (PAYG) customers, but O2 do not.
These are the two emails have had from O2 on the subject
Note that this is because O2 actively block mobile access to the internet, for Pay As You Go Customers, not because there is any inherent limitation of the system. They obviously intend to drive IT users to their Pay monthly (mill stone) services.
Reference Sony-Ericsson T68i and Pocket PC 2002 versus O2 PAYG service.
To set it up with a PAYG account, assuming you're entitled to get it (have a charged SIM etc.,) here is how I did mine!
(i) Set-up a new connection in the PPC connections manager.
(ii) Use a bluetooth dial-up modem (phone should already be paired).
(iii) Modem ADVANCED settings: (a) TCP: check ip header compression, non or the others, get your ip address manually.
(b) Name servers: 193.113.200.200 and 193.113.200.201, ignore the "WINS" stuff
(iv) Dial the number: *99#
Be sure that's what really dials (look at your phone as you try to connect.
(v) Uncheck the wait for dialling tone bit.
(vi) enter the extra-dialling string settings: +CGDCONT=1,"IP","payandgo.o2.co.uk"
(v) Finish
...Oh, but you are not! This is the bit that took me several days to guess....
(vi) PROXY settings: (a) check "this network connects"
(b) check "this network uses a proxy"
(c) type in the proxy address 193.113.200.195
(d) For me, it was unnecessary to open or touch anything in the proxy "ADVANCED" settings.
All this worked for me, even though, I couldn't see any instructions to this effect on the O2 websites.
GOOD LUCK!!