You will need your operator's APN details (hint: ask the operator's customer service or search on Google), which you can enter through Settings > Tap "Wireless & network settings" > Tap "Mobile networks" > Tap "Access Point Names" > Press "Menu Button" > Tap "New APN"
(eclair/2.1).
Alternatively, many operators can send a special service message that will automatically configure the correct APN settings. You might need to contact your operator's customer service or send an SMS/text message to a special number before they send you the autoconfigure service message.