Here is the video of how to do it: http://www.youtube.com/watch?v=QetKoSDBIpA
Enjoy!
-----------------
The data transfer mode didn't work by default. I live in Romania and I use the Cosmote Network so here are the internet settings for data transfer mode.
Go to Settings -> Wireless and network settings -> Mobile Network Settings -> Access Point Names. Press the menu button and then press New APN.
Name: broadband
APN: broadband
Save it! and that's it!