Some time ago I got one of these units (http://www.three.co.uk/Devices/Huawei/E585/Black) on a locked monthly contract. Being an Orange customer I really should use my contacted SIM in it, but time and signal coverage was of the essence so...
Finally having been pointed to www.unlocked-dongle.co.uk by my Twitter chum @timbo_baggins I bought the software for a few quid,
Installing and running were more interesting. I run 64bit Windows 7 by default, and additionally do not give myself Admin rights on my machine. Lastly I run my network behind a Microsoft Forefront TMG firewall.
Firstly, if you run local user only you have to elevate the install. It then installs under the users profile settings - i.e. c:\users\administrator so was inaccessible to me (even the shortcut is on the admins desktop). There's no sign of the app under my user id.
So I log on as Admin and running the software works. Owner it cannot see the dongle, upon further investigation (but not in the emailed instructions) I discovered it'd be good to remove the SIM before trying. Now the dongle could be seen, but... ...it cannot contact the home server for unlocked-dongle's authorisation process. Mucking about with other options got me nowhere. So, given the sub-optimal setup I decided to decamp to a 32bit machine.
That (under admin login) worked fine, until I tried to contact the server again. At this point TMG came under suspicion. Investigations were inclusive, even with a full "everything in and out for that IP" allowed rule - no dice. At which point the help page on the web indicated that firewalls etc were not a good idea.
So finally to Mrs B's laptop, albeit 64bit, but I can use the WiFi to the domestic ADSL connection. That worked. Phew. But I still had to load the Orange APN details for the connection.
I now have an unlocked MiFi and (currently) a choice of 2 SIM's to use. However it is remarkable how 3 can deliver a 4bar 3G signal here, yet Orange can only deliver a 2bar 2G signal.
Other tips - do change the WiFi password - the default is on the inside of the case, so if you lose the unit someone could switch it on and consume your data very quickly.
You may want to change the unit to 3G preferred from 3G only. Better a 2G signal than nowt.
Lastly, the admin password default is pretty weak, change that too.
There's a decent set of options in the setup - worth a good look around just in case, the unit is quite capable really.