If you make use of MTNL in Dehli then the APN can be setup manually on your phone. You can see here how to setup a Nokia mobile phone for the network. There are other networks as well so look at the Indian APN list on this website for more information.
Note that the MTNL settings for Dehli will work the same as those for Mumbai so check your settings. Their website is not very helpful with more details on the settings however the following will work. See other networks in India on this website as well.
MTNL Delhi APN Network
|Data Bearer||GPRS/PACKET DATA|