Some additional news for those with ZTE based modems (like the one Three network do). My modem is network unlocked since I got it when I flashed it with updated firmware - your mileage may vary.
Vega is on Pauls R7 firmware from a couple of days ago.
I managed to get mine to the point of the now I can see the list of networks and register on Three (my sim card provider on this device)
In addition to the notes here you have to disable the inbuilt CD drive "Autorun" thing
Figure out the com port by plugging the modem into your PC - check in the Device manager, should show up as ZTE NMEA Device - mine was COM6
Download PUTTY and use serial mode, enter your com port in the above step.
You should see a black screen periodically updating with +ZUSIMR:2 or similar.
Enter the command:
AT+ZCDRUN=8
Don't worry if the screen scrolls with a new message, just enter the text anyway.
You should get the message "Close autorun state result(0:FAIL 1:SUCCESS):1
OK"
If you get 0 returned instead, close PUTTY, use the safely remove hardware button on your Windows task bar and eject the CD device. Then retry.
Now follow the steps previously posted for adding an account and you should see your detected 3G network providers, from here I can select Three and it tells me it's registered and I get a 3G data signal bar appear in the Android status bar (with my Wifi off

)
From here on though I am stuck. I cannot actually get to the internet using browser at this point.
Airplane mode setting works and disables the 3G connection (change of light on the dongle in addition to the status bar)
Was going to play further, but my Vega is out of battery and making me upset with it - on charge and attempting to use it is a disaster of touch screen hit and miss <sigh>
Edited by Bobbler, 10 February 2011 - 12:43 AM.