The newly released Windows Phone 7 has the option to manually or automatically select the network settings. In case you have 3G enabled network in your area, you can set the phone to automatically connect to 3G network wherever available. When you set this option, whenever there is 3G available in your network, Windows Phone will automatically connect to it.
To enable this feature, from the home screen click the arrow and select Settings.
Under the System settings, scroll down and you can see Cellular settings. Click on cellular settings.
Under the cellular settings, you can see the option 3G connection. If the connection is off, slide the bar and make the settings enabled.
Now when you are in 3G network, your phone will automatically connect to it.