The bad news is that some phones (like yours) don't support setting your own phone number. The good news is that this information is not stored on your phone but on your sim card.
So if you put your sim in another device and set your number there than you can put it back to your phone and voila, your number will show.
Some devices that support setting your phone number:
- Apple iPhone (Be aware that newer versions have microSIM slots!)
- Samsung Galaxy series (Read here on how to do it)
- All ICS devices (Info)
- Some custom roms (Including CyanogenMod)
- Some Sony Ericsson dumbphones (e.g: C902, K550i)
If you don't have access to any of the above you can ask your carrier to do it. It is possible that they can do it OTA.