I had this on Orange with a Nokia. Orange send and SMS with the configuration on it but it turned out I was simply not on a data plan. Perhaps you need to give Asda a shout and ask if you are on a data plan. Seems daft that they gave you an iphone and didn't give you a data plan.
Well you should be able to get the settings sent to your phone by texting ASDA to 44080, then when the settings arrive accept them and enter the pin 1234.