I\'m setting up a store and have already got prices on products. NOW I\'m looking at the VAT issue and have set up tax details under Sales > Tax to apply a UK VAT rate of 20%.<
No shame at all in missing this setting - unless you knew about it you wouldn't think it would be related to the display of tax inclusive prices.
System -> Configuration -> Sales - Shipping settings - Origin
(if you are using the UK language pack replace Shipping Settings with Delivery Settings).