How to increase my nokia n70's internet connection & how to increase my headset's volume?

you may want to try this:
#3370# - Enhanced Full Rate Codec (EFR) activation. Increase signal strength, better signal reception. It also help if u want to use GPRS and the service is not responding or too slow. Phone battery will drain faster though.
for the headset volume, if your headset is the type that has volume controls or, check the side panel of your phone, try pressing arrow up to increase volume, arrow down to decrease, or go to the settings of your phone, look for headphones then volume