Sounds like your GPRS operator needs to go on a course
A GPRS handset doesn't actually dial a number. The *99# is used as a code to tell the phone to connect to GPRS it is not sent to the network.
There are actually 3 ways for a GPRS phone to connect to a GPRS network
ATD*99# (or ATD*99***1# on some handsets)
The last two don't work in practice as once you are connected you need a PPP link to do anything useful.
You do need to tell the phone what Access Point you wish to connect to (the bit after the +0~ on the display, which can be removed by tweaking the Dialing Locations section). This is done by the AT+CGDCONT command, but as all AT commands are 'hidden' by Pocket PC the Connection Manager sets this before it connects.
The customer care person in Mexico simply doesn't understand how GPRS works. Unfortunatly few customer care staff do elsewhere in the world either.