I'd suspect that you've got one of the settings wrong.
I had the same problem - Skype worked, Yahoo Messenger worked etc. but the browser would not connect.
Turned out I'd missed ".com" on one of the APN settings.
...I was sure
everything had been input correctly....
Messenger doesn't work for me. I've entered the APN settings about a dozen times and rechecked it many more. not really sure what's going on