What sort of phone do you have? It may be possible in the settings that you have to disable the data usage. If you're using active sync + windows mobile (highly recommended) then you can set data usage to "manual" (or rely on the "off whilst roaming options")
Apparently Blackberrys have a optin built in to turn off the mobile data ...
NewTeach: Not standard rom here either but haven't got the option of turning off 3G or data. But then again I seem to recall a piece of software I looked at recently let me add some buttons to the com manager. Some sort of config prog. I'll have to go have a look now...lol.