1-st Method -  (Without any additional software installation from Prof Julie)

First create the dummy server:
Tap Start > Settings > Connections tab > Connections icon
Tap "Add New Modem Connection"
Type "Dummy Server" or some such name for the name of the connection, Select Cellular Line (GPRS) (or something like that, as the modem, then tap Next
Leave Access Point Name field blank, tap Next
Leave User Name, Password, Domain fields blank, tap Finish

Set the dummy server as your default data connection:
Tap Manage Existing Connections
Change the option from "Auto Pick" to "Dummy Server"
Tap OK and exit out of the Connection Settings

When you want to use the real GPRS/Edge/3G connection on the device:
Tap Start > Settings > Connections tab > Connections icon
Tap Manage Existing Connections
Tap & hold your stylus on the real Edge Connection settings until a popup menu appears and tap Connect.


2-nd Method - (FREE Utility NoData from MoDaCo - Disable GPRS connections)

Download nodata.cab and install on yours mobile device;

Run program NoData;

Select a connection then press "Toggle" to change state;