-Please check that the speed of your modem has not been limited to 9600bps. You can select this as 115200 bps, e.g. (It only sets the limit to the traffic between your PC and phone).
-you have to have high speed service supported in your SIM card
-in Nokia Modem Options (found in Control Panel) choose Nokia 6310i and drag the connection speed indicator to the desired speed. Connection Method has to be selected to Modem, V.110 or V.120, accordigly.
-If you use GPRS services, type the Access Point name (you will get this from yuor operator).
Further information you can find in the Product Support pages:
(download the document 'Using Nokia Modem Options and Dial-Up for the Nokia 6310')
activat IR on your phone and let Windows detect the phone (as standard modem over IR link) Use this "non nokia" driver to set up your connections.
In case HSCSD is available, add follwing string under extra command in modem properties: AT+CBST=81,0,1.
and this will speed you up from 9,6 to 38,4.