I know where APN should be, I had just recently upgraded to Iphone4 from 3G. The problem is all I could do with "cellular data" is either on or off. On 3G you click on the right arrow next to "cellular data" and it will open up APN menu. Not on Iphone4, either on or off and thats it.
Open Safari Browser with your iPhone 4, go to help.benm.at, go to the very bottom and click on Tethering. If your Country isnt listed, go all the way down to the bottom and create a custom APN and set your APN Settings there and click on Download. Thats it!