The trick with a lot of these dongles (not worked with your specific one) is that they appear at first as mass storage/CD block device which offers a autorun for windows with a little connection applet and drivers etc.
When you issue an eject/unmount the device then turns into the modem.
With my one on Ubuntu it just appears in network manager after I have unmounted it.
That said I am not sure what the support is like on the EEE's default installation for these things. If it appears as a storage device at first or they get a file browser window pop up then then I would unmount it and watch /var/log/messages (if available) or dmesg (if not) and see what usb device is detected *after* the umount.