There seems to be a bug that is affecting some people. if you have installed an APN Profile in Pre iOS4 and install iOS4 , the old profile may not be liked by iOS4 and hide it away.
When you try and install a new profile it will say you can only install one profile (but you cannot remove the old one after installing iOS4)
I suggest people uninstall the old profile first (Settings, General, Profile, Click on the Profile and then Click Remove.
Then you can install iOS and then install a new profile with no problems.