(I no longer use the Sharp Zaurus and do not maintain these pages. I have left them here in case they are useful to someone.)
Go to the GPRS settings:
Menu | Connectivity | GPRS
GPRS connection - always online
GPRS modem settings | Active access point - internet
(Some posts on the internet, such as this one http://www.gagravarr.org/series-60/ suggest that you need to check with Vodafone that your GPRS account is set to allow IP connections as well as WAP surfing - mine was already)
Open the network settings dialog:
Settings | Network
Add a new connection:
Dial-up PPP | New | IrDA-PPP | Add
Use the following settings:
Account Tab:
Name: GPRS connection (or whatever you want to call it)
Username: web (for Vodafone UK - will vary with GPRS provider)
Password: web (ditto)
Phone: *99#
Network Tab:
Auto-detect name servers: checked
Obtain TCP/IP Information automatically: checked
Modem Tab:
Init commands: AT+cgdcont=1,\"IP\",\"internet\" ATM1 ATX3
AT-dial: ATDT
(Note: some posts on the web suggest you do not need anything complicated like this here. Believe me, I tried ... but if I didn't include all this, my phone gave an error message "First subscribe to GPRS". I needed the backslashes in order to get an OK from the phone/modem.)
on the phone: Menu | Connectivity | Infrared | Select
(Phone shows flashing IR symbol)
on the Zaurus: Tap Globe+cross | choose the connection | press connect
(IR symbol on phone goes solid; then a G appears in front of it; then on the Z the cross in front of the globe disappears ... and you are connected!)