Hi vinfong, I know you've already solved your problem but I feel I have to add some more information here (I work for a major cellphone network)
Sony Ericssons do have a bug with their AT modem commands where verbose is off by default, they also use a different init string than most.
Whereas most AT modems will be able to connect to GPRS with the init string at+cgdcont="1","IP","internet"
and the dial up number *99#
(in particular Nokias use this method), Sony Ericssons use a different format.
This is what people should do to make sure they're using the right profile for dialling up on a Sony Ericsson.
Go into Menu > Connectivity menu, now on some phones at this point it varies, some people have "Data Comms", some people have "Internet". You may need to poke around a bit, what you need to do is look for "Data Accounts" or "WAP Profiles" or something like that.
Then you need to find the profile in particular that you want to connect up with, for the Vodafone network (I work for them) you need to find the profile with the word "Internet" in it if you're a contract (pay monthly) customer or "Vodafone PrePay" profile if you top up your phone's credit in advance. Find the right profile and view the info on it, it'll give you an ID number, for 99% of Vodafone Sony Ericssons the "Internet" profile will be ID number 3.
Then you use the init string atz
or the one listed above, and the dialup number *99**ID#
where ID is replaced with the profile ID. That should get you set up.
If you need the multimedia (picture messaging) settings, CSD or GPRS (both wap) settings for your handset you can obtain them from the following links depending on manufacturer sent as a sms (text) message to your phone:
Sony Ericsson: http://www.sonyericsson.com/spg.jsp?cc=glo...ate=ps3&zone=ps
There are others, I just can't remember the pages