WAP has nothing to do with
Java 2 Micro Edition. Or Java for that matter, so this is really the wrong place. Try another site like WirelessDevNet,
http://www.wirelessdevnet.com, which is focused on thin-client wireless development.
(But to answer your question, no you don't have to setup a WAP gateway, usually you can just use your own web server and serve up WML file from it. The gateway is normally maintained by the carrier and it turns around and calls your web server to get the files that the phone wants.)
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Eric Giguere
author/co-author of:
Mobile Information Device Profile for Java 2 Micro Edition: Professional Developer's Guide Java 2 Micro Edition: Professional Developer's Guide PalmTM Database Programming: The Complete Developer's Guide