Now, I've never had an issue myself... usually the phones have them pre-loaded... so unless it loses that information... or you unlock your phone and go to another network... you may need to know what these settings are. Sometimes I've heard of folks flashing a new ROM needing to put the info in manually.
It's pretty easy to set up, just got to go into the phone's Settings menu.
Then near the top there's a 'More' option for networks, choose "mobile networks" and you'll see the option for "Access Point Names".
You might see some settings already in place. You could choose to edit current names, or create a new one.
Once you're there, what settings do you enter? Well, we keep a database full of our Canadian Carriers APN settings. Have a look:
If we're missing any, let us know!