Below is a complete walkthrough of the setting up internet on the HTC Wildfire. Hopefully it will help anyone feeling overwhelmed by the instructions. The settings below are based on the ones supplied by mhoomag1 and work for me with both internet and MMS but if they don't work for you, you'll find various different versions if you do a search.
But the process of entering them should be the same.
It may be the exact same settings for the HTC Desire.
1. Click to the button to view All Apps at the bottom-left
2. Find and click Settings on the All Apps page
3. Find and click Wireless & Networks
4. Make sure Mobile Network is ticked and then click Mobile Networks
5. Click on Access Point Names
6. You might see a blank page now or you may see O2 already listed here. Either way just click the Menu button below your screen
7. Click New APN
8. Click on each item and add the appropriate settings
For me I found the following to work:
Proxy <Not set>
MMS proxy: 126.96.36.199
MMS port: 8080
MMS protocol: WAP 2.0
Authentication type: <Not set>
APN type: <Not set>
9. When done, Click the Menu button below the screen and then Save
10. On the next screen, make sure giffgaff is selected (Green mark next to its name)
If the settings have worked, a letter shoud appear at the top of your phone
(eg H or G etc depending on your coverage)