The most likely reason is you did NOT enter all of the information correctly.
Have you tried this wizard yet?
http://www.apple.com/support/iphone/mailhelper/
If that doesn't solve it tell us EXACTLY what you entered for each value in the Add Account setup, including what you entered in the Advanced section. Substitute "UI" for your user name and "PW" for your password, of course.
Also, have you tried both WiFi on your home network and EDGE?