it sounds like you extracted the contents of the cab file.
this applies for all WM devices, the interface might differ but the basics are the same on your phone tap start - settings -connections and the connectiosn icon. you should see 2 networks by default. My ISp and My Work Network. in My ISP add new modem and name it what ever you want, select Cellular line GPRS,3G - Access point = internet. you dont need a username or password because you are already authenticated by your ISP when you turn on your phone.