My iPhone 4S only let's me connect to BBM, Internet etc when my Wi-Fi is on?

I have to be at home with my Wi-Fi on for my iPhone to work, as soon as it's off it doesn't work and when I'm out it doesn't work, only texts?

You need Mobile data if your on pay as you go top up and open a internet plan with it.
if your on contract contact your supplier and ask for them to add an internet package.

You need to do web setting so you can use without Wi-Fi