I have the Sony Ericson W850i phone as well and I am on the 3 network. You can go online with GPRS but it will cost you a fortune and it's not that fast.
3 have recently started a new offer where you can get entry level broadband speed using their network and a USB modem. Prices start from £10 a month.
I am on the £15 a month plan and get up to 3.6Meg connection (depending on whether I am at home or in the middle of a field doing a car boot)! For £15 you get a download limit of around 3GB, if you want more than that then they do an plan for £25 a month where you can get 7GB of downloads.
The other mobile networks do offer this kind of service (known as HSDPA) but it is much more expensive than 3! With one of the other networks it would cost me £45 a month for the same connection speed and download limit!
