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Have you subscribed the Packet data service from your Operator ? If not, you need to get the plan activated and the Operator will send the Access Points settings. Normally these are sent thru' SMS. When you receive, open and select SAVE. Now, you should get the option to select the Service Provider when prompted..
But, if you do not want the plan activated, Download and install latest version of Nokia_Suite on your PC. Connect the phone to PC using the USB cable. Open Nokia Suite-->Tools-->Software Updates.. and follow instructions..