Try complaining in writing to both Mobile Connections and also ORANGE.  Take the trouble to state all your concerns neatly and logically without being rude.  I frequently complain to various companies in writing and complaints in writing ALWAYS merit more attention than complaints by phone call, personal visit, fax or e-mail. I have found that a little flattery goes a long way too, e.g. "I am surprised that a reputable company such as XYZ mobiles would do this - three of my immediate family are with you and you also came highly recommended by several of my friends and colleagues - this is NOT what I would expect from a first class organisation like yourselves...." etc...  Sometimes, even if you're in the WRONG (or pushing your luck!), the fact that you took the trouble to write a letter still gets you favourable results.  It's often cheaper and easier for them to just give you something (either they can give you what you want or maybe something else) than get one of their staff to spend time composing a suitable letter then writing/typing it and then mailing it to you to explain why you can't have whatever it is.

It's usually hard to get out of a Contract anyway (in fact it's almost impossible without paying some kind of severance fee!), but some carefully chosen words describing your disappointment, or reminding them of their moral obligations (but also combined with polite flattery) can maybe get you some kind of a goodwill gesture (like a few extra minutes airtime, GPRS browsing time, a percentage off your bills, free downloads or whatever...)  Go as far as saying that in the event of them NOT being able to meet your request 100%, you would at least like a goodwill gesture, you can even make suggestions as to what type of goodwill gesture would be acceptable.

Lots of business deals that you "join" or "subscribe to" often say that cancellations must be submitted in writing and usually within a certain timescale. They're not being daft when they insist on this, and they're not contravening Trading Standards either. As long as they supply a route for cancellation (like saying it's only acceptable in writing), they're not breaking the law. They know fine well that so many people nowadays have such a poor standard of literacy they would have neither the skills nor the confidence to put a coherent letter together so they don't even try! 

I once knew of somebody that got a friend to write to a company on her behalf - posing as the spokesperson of a (newly-invented) charity/support group!  She made nice headed paper on her computer and told a hard-luck story about this lady's physical and mental health and how she was in the wrong frame of mind to be signing up for an expensive suite of furniture on credit so soon after she'd taken her morning dose of several prescription drugs...  (Actually it was all true, but like I say, the support group was newly invented!!)  All she wanted was to get out of the deal (the company kept ringing her and asking when she wanted the stuff delivering and she wouldn't take delivery of course) she wasn't bothered about getting her £20 deposit back, she just wanted to get out of buying the suite!  The letter her friend wrote got her the sale cancelled AND the deposit back!  Guess who this lady's "friend" was, who wrote the letter?