Set your initialization string correctly, and it should work. It works for me over both GPRS and CSD with a 6340i, a 6200, and a 6230. The initialization string you need for GPRS is something like " ATZ+CGDCONT=1,"IP","your.apn" ". For some reason, on the Zaurus, but not on my laptop, I have to use the "Z" in the string. YMMV on that one. For CSD, a simple ATZ works fine as an initialization string. The dial string you need is " *99# ". If you don't use the +CGDCONT=... part of the init string, you'll need a dial string like " *99**n# ", where n is the number (1,2,3,4,5) of the service settings set that contains the GPRS configuration info for the APN, etc, that you want to use in your phone. Don't forget to set the username and password for the PPP session appropriate for your service provider.
Nokia has documentation on how to set up a GPRS connection, as well as the entire AT command set supported by their phones at forum.nokia.com,
Remember to turn on the infrared on on the phone. Also remember that it shuts itself off automatically after a while if it's not communicating with anything.
To implement my suggestions, just go to the network utility and add an irda dial-up connection, and set the settings similarly to the above description.
If you're in the US, on T-Mobile, the init string you need is ATZ+CGDCONT=1,"IP","internet3.voicestream.com" if you're subscribed to the $19.99/mo data plan. If not, you need ATZ+CGDCONT=1,"IP","wap.voicestream.com" but I don't know if that still works or not, since I'm not subscribed to them.
It probably sounds complicated, but it's really easy, it only takes a few taps and about 4 input boxes worth of typing.