Are you on a Contract or Pay As You Go Basis with the O2 network?
O2 block all http traffic on PAYG which makes Windows Mobile devices pretty ineffective as you have no web access. MMS and SMS works fine, but there's no web browsing, data connections (eg. updating sat-nav information) which really limits PDA use. I called them up about a week ago to query using data access on my device (HTC Pharos) and the moment they found out I was using a WM6 device they said it would not work and refunded the £7.50 I'd just arranged to pay per month for the service. It would appear they aren't interested in letting PDA's use the O2 Active service nothwithstanding that I was personally after data access, not specifically O2 Active.
I've asked around the technical department here and no-one has the manual settings for O2 Active. Bear in mind that O2 introduced this service in 2003 as a WAP based service, calling them these days they try and get you on their O2 Mobile Web service and not the older WAP O2 Active.
The Mobile web service offers proper GPRS/3G data access and is the one to look at if you are on a Contract with them.
http://www.filesaveas.com/o2wap.html has some information to read about both but a lot of that page is for the WAP service or setting up MMS, not the internet.
If you're Mobile Web enabled on your O2 Contract then if memory serves the settings should be Start, Settings, Connnections, Connection Setup, Menu, untick Enable Automatic Configuration, click X at top right of display, Connections, Add a New Modem Connection under the My ISP tag, call it O2 GPRS or similar, select Cellular Line GPRS or Cellular Line GPRS/3G instead of just plain Cellular line, Next, enter mobile.o2.co.uk as the APN, next, enter web as username, enter web as password, leave domain blank, click finish. That should be it, Internet Explorer should now work.
Remember that nearly all network's data tariffs do NOT cover voice over IP use for internet telephony or Skype use, plus have strict monthly data transfer limits with prohibitive cost per Mb (let alone per Gb!) if you exceed this. Many also are designed for use purely on the PDA and not for using the PDA as a 3G/GPRS modem in conjunction with a PC or laptop. Be wary therefore of using anything like heavy downloading, torrents, Channle Four's play on demand thing or the BBC iPlayer as these are huge bandwidth and data hogs in case you run up a very big, unexpected and unwelcome bill.