Problem solved with iPhone Conf. Utility.

Steps:
1, Download and install and run iPhone Conf. Utility:
http://www.apple.com/support/iphone/enterprise/

2, Go to "Configuration Profiles", press "New"

3, Fill in "Mandatory" with whatever you feel like

4, Go to "Advanced", say you want to configure "Advanced" and enter the APN settings

5, Press "Share", and email the profile to an email address you can access on your iPhone (you'll need WiFi to get the email of course)

6, Install Profile, switch of WiFi (so you can test), restart iPhone, try Safari etc. should be all good.