Sounds like an access point problem. Have you got these correctly defined and are you using the correct one in Web (this is set in Web's settings - might be best to use always ask).
You need to use the access point that alows Internet Data. This depends on your operator. If you think there is something wrong with your access points (defined in the Settings -> Connections application/ dialog you should be able to have your settings sent to you (look for the Nokia configurator via Google - the url escapes me).
Remember: The search command is your friend.
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