I've been running a Windows Mobile 5.0 Smartphone for a year and love it (imate JASJAM). Below are the settings I use to get it working in Bermuda on GPRS.

1. Setup a GPRS connection (Settings -> Connections -> Add a new modem
connection)
2. Enter Name (Digicel GPRS or M3)
3. Modem Type = Cellular Line (GPRS)
4. Access point name = web.digicelbermuda.com (Digicel)
4. Access point name = net.bm (M3)
5. No Username / Password / Domain
6. Finish