I also battled to find information on how to set up my GPRS connection, but I eventually managed to source something on mtn.co.za. I will paste it below, as I can't really remember exactly how I found this info.
Obviously, some of it won't apply, and/or it's pretty obvious already.
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Installing the Bluetooth device
1. Run the TDK software following the on-screen prompts and reboot the PC manually if not prompted to.
2. After the PC has rebooted, the TDK software will launch a pop-up window.
3. If you are using the CD-Rom, click on Yes to view the tutorial otherwise click on No to exit. If however you have downloaded the software click on View TDK Bluetooth Tutorial to view the tutorial otherwise click on Exit to close the TDK Application Launcher.
4. Attach the TDK Bluetooth USB Adaptor to an available USB port of the PC.
5. The Found New Hardware pop-up window will appear.
6. The Found New HardwareWizard will begin.
7. Select Install the software automatically (Recommended) and click on Next.
8. The Hardware Installation window will appear, click on Continue Anyway to continue or STOP Installation to abort.
9. Click on Finish.
Pairing the devices
1. On the handset, press the Menu joystick in.
2. Scroll to Connectivity and press Select.
3. Select Bluetooth and press Select.
4. If Bluetooth is not turned on, highlight Turn on and press Select otherwise ignore this step.
5. Scroll to Options and press Select.
6. Highlight Visibility and press Select. Highlight Show phone and press Select.
7. Scroll to Phone name and press Select. In the Phone name field, enter MTN GPRS and press Ok.
8. Press the Back button four times.
9. On the PC, double click on My Bluetooth Places icon.
10. Click on View devices in range. The software will search for devices within range. If the handset is not discovered, open the Bluetooth menu and select Search for devices.
11. Right click MTN GPRS and click Pair Device.
12. The Bluetooth Passkey Request window will appear. In the BluetoothPasskey field, enter a four digit BluetoothPasskey for example 0000 and click on OK . (Note: If you have downloaded the TDK Bluetooth drivers, the window name as well as the field name will differ).
13. On the handset, press Yes to Add to My devices .
14. In the Passkey field, enter a four digit Passkey, which is the same as the passkey specified on the PC and press Ok.
15. On the PC, close My Bluetooth Places\Entire Bluetooth Neighborhood screen.
Setting up the handset
1. On the handset, press the Menu joystick in.
2. Scroll to Connectivity and press Select.
3. Scroll to Data comm. and press Select.
4. Highlight Data accounts and press Select.
5. Highlight New account and press Add.
6. Select GPRS data and press Select.
7. In the Name field, enter MTN GPRS and press Ok.
8. Select APN and press Edit . In the APN field, enter myMTN and press Ok.
9. Scroll to User id and press Edit. In the User id field, enter Please leave this field blank] and press Ok.
10. Scroll to Password and press Edit. In the Password field, enter Please leave this field blank and press Ok.
11. Press Save.
12. Highlight MTN GPRS and press Select.
13. Scroll to CID and take note of the CID number, as it will be referred to in step 5 of Making the connection.
14. Press the Back button five times.
Setting up the connection
1. On the PC, double click on the My Bluetooth Places icon.
2. Click on View devices in range. The software will search for devices within range. If the handset is not discovered, open the Bluetooth menu and select Search for devices.
3. Double click on MTN GPRS.
4. Right click on Dial-up Networking and click on Connect Dial-Up Networking.
Making the connection
1. On the PC, the connection window will appear.
2. In the User name field, enter Please leave this field blank.
3. In the Password field, enter Please leave this field blank.
4. Click on the Properties button.
5. In the Phone number field, enter *99***X# where X will be replaced by the CID number noted in step 13 of Setting up the handset and click on OK.
6. Click on Dial.
7. If the Network Connections screen appears, click on No otherwise ignore this step.
You will now be connected to the GPRS service.