I have just got a Nokia Lumia 520. In the UK using Three everything worked well. I live in Spain and have swapped the SIM card for my Spanish Masmovil SIM - my deal includes 1GB of data.
The Spanish instructions on www.masmovil.es show a Nokia Lumia with different screen options and I cannot find "configuration" so I can set up the APN for Masmovil.
This is not a reply but additional information.
The link to the masmovil website - manual configuration is http://masmovil.es/en/configuring-devices/
Point 2 says choose "configuracion" which is obviously "settings" and I can follow through to step 4 when the display on the website says "click on ADD APN" also shown in Spanish as "agregar APN" however all that is shown on my Nokia below "Network Selection" which is set to automatic, is SIM Applications.
If I click on that I just get the "recargar" or "recharge" option ... which is not APN. I am on a contract so there is no requirement for Recharge anyway,
Confused? Well I am too ....