I'm a Wind customer and I used GPRS in several countries in Europe with no problem, but only with my handset, no PC connection since I've never tried it!
I think you just need to setup the right APN (internet.wind) and that's all. The calling number is the usual *99# maybe plus the ***2 as well.
Let's see if AndreA can say more than me, he's such an expert about this subject!