In many cases you would want to test your applications with several types of gateways, just because they work in different ways. You might also want to connect to another gateway than the one your operator provides for some reason or other.
How to change your gateway setting should be explained in your WAP device’s user manual, or you can have a look here.
This is specifically true for WAP 1 and WML where a wap gateway is required. Some modern browsers only support HTML and XHTML and will not let you set a wapgateway or will work even by-passing it.