you can connect using ANY internet profile on your mobile phone (even if it's wap, gprs or umts) i'm using gprs and got no problem by now.
BUT.. if you have more than one Data account on your SE phone.. when you create the dial-up connection in windows the number which you dial for connection should have *X# in the end where X is the number of the data account in your mobile phone.

For example i dial *99# when i use a phone with only one connection or *99*1# when i use my other phone which has more than one data account(internet profile).