Upgrade your iPhone to iOS4 and lose your data connection (3G)?

Go to: http://modmyi.com/wiki/index.php/Carrier_APN_Settings
And get your carrier's APN settings.

Then go to: http://www.unlockit.co.nz/

Tell it to change your cellular data information.
Enter the APN, Username and Password and let rip...
That should fix it :)