Ok - firstly, which OS do you have? When you installed BB software, all you have do make sure is that your BB Device Manager is started - MUST HAVE! It'll be bottom right icon by the clock of a PC and a phone.
On your blackberry, go into Options (spanner icon), advanced options, TCP/IP, and tick APN Settings Enabled. Set the APN to 'internet' (without the quotes). Save.
Dont have to start BB desktop software - in fact, I removed the software and kept the device manager. If you connect your BB and double click the icon, it should show connected with your PIN. Once confirmed, go into Device Manager and go to the modem (should just be Standard Modem). Open it and go to Advanced tab. Type in exactly:
at+cgdcont=1,"ip","internet"
Click ok.
Best bet is delete the existing connection you created. Create a new one with the same number and no username or password. Should work first time. Let me know?
PS: you can increase the speed by setting the port speeds on the modem - in BOTH properties pages (of the connection and the modem itself).
Cheers!