I loaded up a USB stick with Ubuntu Netbook Remix using "LiLi USB Creator" from
Linux Live USB Creator : Powerful and easy Live USB Creator, which makes the USB stick bootable. Making the live USB was easy; just needs a few mouse clicks, done in XP.
Then I booted into ubuntu from the stick into the live "persistance" mode, which means you can save files to the USB stick, and plugged in my 3 mobile broadband dongle. At first I thought I had to enter passwords or pin numbers but that didn't work, it kept saying the modem was locked and needed a password.
So I tried just leaving all the details blank apart from from choosing the country and network, and it connected! I think it might help booting with the dongle already plugged in, as I had to go back to XP to look up some web sites, and I didn't remove the dongle.
