Have a look at the APN list in Settings. I'm not sure of the exact layout in Windows Phone, but it should be under Data|Access Points. If Vodafone Contract WAP is there, it should be fine. Settings tend to arrive and install silently, so the fact that you haven't seen anything happen isn't necessarily significant.
If the APN is correct, talk to Live Chat (Contact Us at the bottom of the page) and make sure the service is correctly provisioned on your account. It tends to be turned off by default on contract ones, but I'm not sure about PAYG.
