The modem dongle is initially seen as a CD which contains the Windows applications to allow it to function. Linux, as it stands, only sees the CD and not the modem hence andrewthomas mentioning the usbmodeswitch package.(Which can be downloaded via Synaptic) It flips the dongle into modem mode.
I managed to find other stuff from a site called Betavine which allowed you to download a set of open source vodaphone apps to run the dongle from Ubuntu and other Linuxes. (Unfortunately, having had a quick look at the site again, I can't find the downloads