Thanks man I should have looked at the manual 1st lol.
But for others like me, make sure you are in a 3G network area and not be connected to WI-FI!
Goto settings, then general, then network. It is in there! Activate it and then it makes its way in the main settings!. I didn't remember doing that the for my 3GS or my iPhone 4. But it is all good and running now
Thank you Diesel