get a bluetooth adapter/dongle, so if you change your phone you won't need to buy a new cable. (most fones come with cables), the cd's usually have internet wizards. IF you don't have a cd instaal the phones modem driver (some phone drivers get installed when the phoneis detected), use *99**1# or *99# as the dial up number, this allows the pc to use the phones gprs settings
The cable is included in the package. Install PC Suite and connect the cable. Windows will install the needed drivers. Choose "Connect to the Internet" from PC Suite menu, click on "Setings...", select the correct modem (something like "Nokia 9300 USB modem"), select your service provider from the menu (this will fill in all those nasty connect strings and other settings for you) and connect .