Just for the record, here are working settings for O2 PAYG Internet and MMS. You only need one APN with the HTC Desire. This works fine on my unbranded HTC Desire.
Name: O2 MOBILE WEB
APN: payandgo.o2.co.uk
Proxy: not set
Port: not set
Username: payandgo
Password: password
Server: not set
MMSC: http://mmsc.mms.o2.co.uk:8002
MMS Proxy: 193.113.200.195
MMS port: 9201
MMS protocol: WAP 2.0
MCC: 234
MNC: 10
Authentication type: none
APN type: not set
Allow 30 mins or more for these settings to start working. On the Desire, they work even if there's no green dot beside the APN.
Found here O2 Forum :: View topic - HTC Desire Internet Connectivity
Name: O2 MOBILE WEB
APN: payandgo.o2.co.uk
Proxy: not set
Port: not set
Username: payandgo
Password: password
Server: not set
MMSC: http://mmsc.mms.o2.co.uk:8002
MMS Proxy: 193.113.200.195
MMS port: 9201
MMS protocol: WAP 2.0
MCC: 234
MNC: 10
Authentication type: none
APN type: not set
Allow 30 mins or more for these settings to start working. On the Desire, they work even if there's no green dot beside the APN.
Found here O2 Forum :: View topic - HTC Desire Internet Connectivity