Thanks PUMBer Pauz, he posted full details on getting GPRS in Bangkok.

Follow his post, I purchased an AIS One-All-Call SIM Card (250 Thai baht, about USD6) in the 7-11, suprisingly seems GPRS is now in promotion, 3000 mins free GPRS is given for a new card! (I think this is targeting tourist like me to buy them while traveling Thailand)

Inserting the SIM to my Treo, done done, network setting has already been set by the SIM.

Stay connected is just so good!
🙂