When you put an o2 SIM into an unlocked handset you usually get the GPRS and MMS settings sent to you, and you just need to accept them, otherwise you can download them from WDSGlobal from their website.
According to the Orange rep, Orange handsets are designed to work with the Orange menu and nothing else.
IMO another reason not to go with Orange but a reputable network, like O2 or Vodafone. You've made a good choice there. Orange are rubbish.
Adam
December 2009