Yep, the GPRS bit is how the phone communicates with the mobile network and transfers data to and from same. It's much like a phone connection only it remains open, not tying up the phone line and only moves data as and when demanded to, remaining idle, but standing by, the remainder of the time.
It's pretty safe to say that any mobile phone recent enough to have bluetooth will also have GPRS capability.
As I said in my previous post though, do look into the dial up option to a low rate/free phone account though as I'm sure this will prove cheaper, if it is in fact possible.
There are only really two steps to getting the set up working. The first getting your PDA talking to your phones built in modem by bluetooth and the second getting that modem connected to the net via either GPRS or dial up (?if it's possible?). You may also need to contact your phone service provider to activate data calls on your talk plan. Whilst talking to them get as much info on settings from them as you can.