I've been using two different S60 phones and have been wondering the same
issue on the other. Perhaps your problem is the same.

Anyway, my phone manual basically only tells that Irda is supported for
modem operation and it further refers to PC Suite manual. PC Suite does not
seem to be very accurate, it just asks you to switch on IR from your phone.
As far as I understand, certainly from experience from my other S60 phone
where IR dial up works, the IR connection needs to be activated differently
for modem operation from visitor card exchange etc.

On my second S60 phone if I go to the Connectivity menu, I have the data
cable, BT etc. options but in addition "Infrared" and "Modem". On this phone
at least I have to activate the "Modem" option to be able to use the phone
as a modem.

The problem with the other S60 phone I have is that the connectivity menu
does not have this "Modem" icon to select at all. Now if I instead select
Infrared on that phone, my Windows XP laptop indicates a Standard modem over
IR being connected (control panel, phone and modem options) but if I try
diagnostics and query modem, I don't get any response from the phone. If
instead I try the same with my "second" S60 phone when I activate the Modem
function, my laptop correctly performs modem diagnostics and responds with
all the relevant capability info etc.

So far my conclusion is that either the IR Modem support is missing from one
of my S60 phones (even if the manual claims dial up being supported over IR)
or there is another way to activate DUN with that phone, but I have not
figured out how.