First you need a GPRS plan from T-Mobile that allows access to the internet. There is a limited T-Zones plan that allows limited access to T-Zones sites. For unlimited access (All ports open) you need the unlimited plan. The unlimited plan costs $19.99 a month. If you do not have that plan or the T-Zones you will not get on the internet. There is no lock on GPRS other than on your account. Call 611 from your phone or go to the T-Mobile.com site and you can change your plan.
As far as getting GPRS set up see this thread:
T-Mobile SetupThere is no free lunch with T-Mobile anymore and there is no phone GPRS lock. You just need to enable the service on the T-Mobile account. If you want MMS-same thing call them and ask them to add the service.