From some quick reading via Google, it seems that thing is (the same as) a Huawei E169
and is currently supported by an in-kernel driver. The Huawei website says that it "works out of the box with Linux".
If this is not the case, then according to here: http://ubuntuforums.org/archive/index.php/t-858032.html
there is a GPL'd Linux driver for the device included with the CD that came with the device. That should have reasonable instructions on how to use the driver, and the thread I linked here details some procedures that folks have followed to get their device working..
On Ubuntu (based on Debian) the NetworkManager tool can apparently configure and connect the device to the internet. If you do not have NetworkManager on your OS, you may wish to find it in your package repository and install it, as it can make connecting with such gadgets a bit easier.
If this information is not helpful at all, then please elaborate on exactly what you "read on some forums" and "what you have tried, exactly" so far, to get it working, and what went wrong.