This should be pretty simple, I just ran through this on a generic WM6 device and a Nokia 6233 handset which is a series 40 handset just like your 6500 Classic.
On your 6500 Classic you need to define the GPRS/WCDMA Access Point that is used when you make a Bluetooth Dial UP Networking (DUN) connection from your iPAQ.
To define the settings for connections from your iPAQ or Laptop:
1. Select Menu > Settings > Connectivity > Packet data > Packet data settings > Active access point, and activate the access point you want to use.
2. Select Edit active access pt., enter a name to change the access point settings, and select OK.
3. Select Packet data acc. pt., enter the access point name (APN) to establish a connection to a network, and select OK.
4. Establish an Internet connection by using your Nokia device as a modem.
For O2 I believe the GPRS/WCDMA Access Point Name is Internet (mobile.o2.co.uk)
Then on your iPAQ you would define a new ISP connection:
1. Settings > Connections > Connections > (My ISP) Add a new modem connection
2. Enter a name for connection, Select a modem: Bluetooth, Choose Next.
3. If you've already paired your 6500 Classic with the iPAQ then choose the 6500 from the device list and choose Next [ or choose "Add new device..." and pair your your 6500 Classic, and choose "Dialup Networking" as the service to use from the device, choose Finish, then Next ]
4. Enter *99# as the number to dial to establish the connection, choose Next.
5. Enter mobileweb and password, as the username and password respectively, leave Domain empty - You may have to check these settings as I don't currently have a 02 account only Vodafone & 3
6. Choose Finish
If all is working as expected you should now be able to connect to internet from your iPAQ via your Nokia 6500 Classic (Your Phone will prompt to allow the iPAQ to connect unless you have authorized the device to connect automatically Menu > Settings > Connectivity > Bluetooth > Paired Devices select your iPAQ > options>>Auto-conn., no conf. now select yes.)
Hopefully that should be all you need to access the internet from your iPAQ via your carriers GPRS/WCDMA network.
HTH
Michael