From Apple site....
Carrier settings updates are small files (about 10k) that are downloaded from iTunes to be installed on your iPhone or iPad Wi-Fi + 3G. The carrier settings can include updates to the default APN (how the device accesses the carrier's cellular data network). The carrier settings for iPhone also include special dialing codes at Settings > Phone > [Carrier] Services, default settings for Stocks, Maps, Weather, and other items. You should install the latest carrier settings updates for your device as soon as they are available.
To check if a carrier settings update is available for your iPhone or iPad Wi-Fi + 3G:
Make sure that you have a working Internet connection on your computer, and the latest version of iTunes is installed on your computer.
Connect the device to your computer and open iTunes.
If a carrier setting update is available iTunes displays a prompt:
Click "Update Settings" to load the confirmation dialog.
Click OK to dismiss the confirmation dialog.
Restart your device:
Hold the power button until "slide to power off" appears.
Slide to power off your device.
When it is off, press the power button to turn it back on.
Additional Information
The carrier update files are stored in the following locations.
In Mac OS X:
/Users/[Username]/Library/iTunes/iPhone Carrier Support/
In Windows XP:
C:\Documents and Settings\[Username]\Application Data\Apple Computer\iTunes\iPhone Carrier Support
In Windows Vista:
C:\Documents and Settings\[username]\AppData\Roaming\Apple Computer\iTunes\iPhone Carrier Support\ in Windows Vista.
The version of the carrier settings is visible on iPhone and iPad Wi-Fi + 3G by tapping Settings > General > About and looking next to "Carrier". If you restore with a new version of the software, the carrier settings update may be included with that update. If not, iTunes will indicate that a carrier update is available after the restore.
If your device uses a SIM card and you insert a SIM or micro-SIM from a different carrier, you must connect the device to iTunes to download the latest carrier settings for that carrier.