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Getting my USB dongle to work in Linux was shockingly easy. I don't know if I was just lucky, but I'd put off buying this for a long time, as I was convinced it would be hard to get to work in Linux. In reality it took less than 2 minutes from start to finish, and no effort at all. Here is the process for Ubuntu 8.10:
1. Open packet.
2. Insert SIM Card into dongle.
3. Turn on laptop.
4. Plug in dongle.
5. Wait for GUI to pop up.
6. Confirm your network, (in my case '3', which was auto-detected).
7. Connect to network using Network Manager, the same way as you would a wireless network.
I'm still reeling from shock at just how easy this is - it took a lot of effort to make that into a 7-point guide! Speeds are looking good, and my only issue is that the Three website doesn't seem to allow registration of USB Dongles (it claims to, but also says it will send a text message with a password, and I have no idea how I'm supposed to read a text message on a device with no screen).
Just for completion, my device is labelled on the box as a Huawei E156G USB Modem. When ordering from Three however I was just asked if I would prefer a black or a white device, so I'm not sure if they only have one model, or you don't get a choice (I chose the black). I haven't tested the MicroSD memory card slot, but I see no reason why that shouldn't work either (viewing the syslog when I plugged it in showed that it detected a USB Mass Storage Device).