Did a little more digging and found that quite few people have problems getting this phone to do dialup with anything other than a laptop and SEs own software.
reason is that SE use some funny command structure, instead of *99# they use *99***1#
The number 1 there is important, it is the internet profile to use for the dialup, there will probably be several settings in
Menu->Settings->Connectivity-> Internet Settings -> Internet Profiles ->
In the phone, and so the number will need to match the one that is configured for Internet access (and not Wap or MMS)
Also the N770 will need to be configured to send *99***x# (change the x to the number of the connection). I have never used the 770, but looking at the user guide you need to go to
Control panel > Control panel > Tools > Mobile operator setup wizard
Create a connection as described on page 27 of the user guide, the settings will be network operator dependent, but the key thing will be to configure the Dial-Up number to be *99***x#