Hmmm,it's impossible,so that's a little mistake.
Turns out I had to first get on a WiFi network to create a 3G plan for it. Stupid if you ask me, the hardware and software are already in place.
Also, after updating to iOS 4.2 the APN setting option disappeared.
PS - I don't like how this forum says I'm an iPad Noob. I'm a noob to iPadForums.com but not to the iPad.