Menu -> Settings -> Wireless Controls -> Mobile Networks -> Access Point Names -> Vodafone NZ (you may have to create a new one):

DATA

Filling in the setting with values (only a couple):

* Name = Vodafone NZ
* APN = www.vodafone.net.nz (note the net.nz)
* MCC = 530
* MNC = 01
* APN Type = default

TXT