The Nokia N95 doesn't allow you to set warnings as you approach speed cameras. You basically load them as a viewable layer on the map. It's strange that they have not allowed you to set warnings, but I suppose they want you to buy them from Nokia and nowhere else.
You can get around this by loading on the Garmin software or other warning software.
The Nokia 6110 allows you to set warnings, audio and visual. There are probably other ones out there that do the same. I also know it does not work on the new N97.