After browsing a lot of sites and experimenting with the settings finally I was able to configure my HTC P3400i with Vodafone Live support without any help from the Vodafone customer care (who were very bad and rude when I called them for getting the setting). The settings is working fine for me in Bangalore. Hope this helps all who bought this phone and struggling for getting the GPRS setting for HTC P3400i.

Below is the step by step instruction:
Step 1
Start->Settings->Connections->Tasks->Add a new modem connection:

Enter a name for the connection:


Select a modem:
Cellular Line(GPRS)

click next

Acess point name:
portalnmms

User name:
Password:
Domain:*

Go to Advanced->TCP/IP
select radio button "Use server-assigned IP address"

Go to Advanced->Servers
select radio buttion "Use server-assigned address"


Step 2
Start->Settings->Connections->Tasks->add proxy setting

Select "This network connects to the Internet"
Select "This network uses a proxy server to connect to the Internet"

Click "Advanced" button
Tap on HTTP
Server: 10.10.1.100 Port:9401

Username:
Password:
Domain:

Tap on WAP
Server: 10.10.1.100 Port:9401

Username:
Password:
Domain:

Step3:
Start->Settings->Connections->Advanced
In "Select which networks are automatically used"-> click the Select Networks
Programs that automatically connect to the Internet should connect using:
Select the Connection name which you configured in Step 1

Programs that automatically connect to a private network should connect using:
Select the Connection name which you configured in Step 1

Make sure you reboot after doing above change.