How can I change the APN Direct TCP settings on my BlackBerry?

The BlackBerry Direct TCP settings can be changed at the TCP / IP settings.
Menu->Option->Advanced Options->TCP/IP.
For your APN settings please contact your provider.

Watch this tutorial at: http://www.mybrainworks.eu/node/232
A list of the providers you can find here: http://www.blackberryfaq.com/index.php/Carrier_specific_APN/TCP_settings