This information has been provided by Tech Bangalore visitor Michael via comments, who also won “Best Commentator Award” for the month of October. You can refer to his complete comment over here.

1. Select Menu / Services / WAP / Settings

Edit Profile – On selection, there is a list just select the first or any profile and u get two options
1. Activate Profile
2. Edit Profile

Select Edit Profile and edit the following fields as below:

1. Rename Profile: Vodafone_gprs
2. Homepage: http://live.vodafone.in
3. Data Account: Vodafone_gprs

4. Connection type u get three options:
Connection-oriented
1. IP Address: 010.010.001.100 give done
2. Security: Off

Connectionless
IP Address: 010.010.001.100
Security: Off

HTTP
Proxy Address: 010.010.001.100
Proxy Port: 9401 (NOTE: I think as mentioned above this is for Tamil Nadu, so whichever city or country your from ask for your mobile operator IP or Proxy whatever)
Select Done

Save Settings if asked and Then give Activate Profile

Browser Options
Timeout: 300 by default, I just put 150 just in case a page takes too long to load

Show Images: On
Ok Save Yes

Then there is Data Account Below Wap
GSM Data (I just left this alone)
GPRS Select Edit
1. Account Name: Vodafone_gprs
2. APN: portalnmms
3. Username: (Leave Blank/None)
4. Password: (Leave Blank/None)
5. Auth. Type: Normal

I dont know about MMS coz I don?t usually use, but anyway just for safety I chose the second one under Data Accounts and edited as follows,
1. Account Name: Vodafone_MMS
2. APN: portalnmms
3. Username: (Leave Blank/None)
4. Password: (Leave Blank/None)
5. Auth. Type: Normal

BUT there is Under Messages Itself an option for MMS where in you have
Message Settings / Server Profile
Edit first profile to
1. Rename Profile: Vodafone MMS
2. Homepage: http://live.vodafone.in
3. Data Account: Vodafone MMS
4. Connection Type:
Connection-Oriented
1. IP Address
010.010.001.100
Connectionless
1. IP Address
010.010.001.100
1. Proxy Address
010.010.001.100
2. Proxy Port
9401
Username: (Leave Blank/None)
Password: (Leave Blank/None)
Done / Save / Yes
Activate Profile – Yes

In Menu / Settings / there is something called Network Setup under which you have GPRS Connection, there are two options When Needed or Always. Either works I guess I just left it on When Needed. (makes more sense)