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The internet connection is shared by many functions on your phone such as receiving email messages and installing apps. You can access the internet as soon as you've inserted your SIM. If this isn't the case, you can set up your phone for internet manually.
Find "Mobile Data Network"
If you're on a pay monthly price plan:
Key in wap.vodafone.co.uk
If you're on a pay as you go or VOXI price plan:
Key in pp.vodafone.co.uk