this is a guess, and i have no real knowledge of HTC phones (thinking about getting a Touch HD though?!) or the ASDA network but thinking you may need to specify an APN address, which will be specific to Asda-
WAP
APN Name: ASDA mobile
APN Address: asdamobiles.co.uk
Gateway IP address: 212.183.137.12
Username: wap
Password: wap
Session Type: Continuous / permanent
Authentication: Normal
Security: Off
Port Number: 8799 WAP2.0, 9201 WAP1.x
Connection: When needed
GPRS
APN Name: ASDA mobile
APN Address: asdamobiles.co.uk
Gateway IP address: N/A
Username: web
Password: web
Session Type: Continuous / permanent
Authentication: Normal
Security: Off
Port Number: N/A
Connection: When needed
If not try calling ASDA mobile and asking them- dial 2732 from your ASDA mobile or 0845 303 2732 from a landline.
Baj has an HTC phone i think, so he will probably laugh in the face off my post and tell you what to do or point you in the right directiion for configuring your APN.
s_s