Prerequisites: APN from your carrier.
Before following this guide, contact your carrier and ask them to enable EDGE/GPRS and send you settings for iPhone (APN).
Here’s your part of job:
Press Settings icon from SpringBoard of your iPhone. and then go to General Menu.
Press Network Menu and then go to Cellular Data Networking.
Now, under APN field, enter the APN that you received from your Carrier.
If you want to use EDGE right now. Press network button at top left (left screen shot) then turn Data Roaming ON.
Now you have Setup Edge / GPRS on your iPhone and ready to surf internet.
Note
Don’t forget to turn data roaming OFF when you’re done with internet usage. otherwise it will keep running resulting in a big iPhone Bills.
Have Fun!