A month or so ago I switched from my old HTC 7 Trophy to a brand new Nokia Lumia 800. Having Yoigo (a spanish mobile virtual network operator) I just inserted the SIM card, configured the APN and enabled roaming, thinking it would work the same way as in my old phone.
I got signal and everything started working like a charm, until some time later I couldn’t do anything that involved the data connection. Refreshing any email account displayed the dreaded 80072EFD error, and Twitter/Facebook/Internet Explorer said they couldn’t connect at all. Pretty annoying, since sometimes it started working when deactivating airplane mode or changing from one cellular network to another.
It looks like the only solution to this problem is to download the Nokia-exclusive Network Setup application. You can find it in the Nokia Collection section of the marketplace (it doesn’t appear at all throught the web marketplace, so you have to download it from your phone), and running it performs some kind of black magic that lets your data connection behave properly.