I'm assuming here that your using this through a wireless cell phone system such as AT&T or Verizon. If so, read on.
I've used several of these devices in the last 3 years to access the internet so I'll see if I can help. Have you tried anything with it yet? Have you hooked up with it in Windows using the providers "Communication Manager" yet? Often you will have to use Windows first to initialize the service and the modem.
A couple of other things. Do you know the "Phone Number" you need to dial to connect to the tower and do you use a "username" and "password".