This might not work with every 3G usb modem on earth!
This is the command line way. There are graphical ways too.
If you have trouble connecting, try installing usb-modeswitch package.
/etc/wvdial.conf example:
[Dialer Defaults]
Init1 = ATZ
Init2 = ATQ0 V1 E1 S0=0 &C1 &D2 +FCLASS=0
Modem Type = Analog Modem
ISDN = 0
Modem = /dev/ttyUSB2
Baud = 9600
Phone = *99#
Username = " "
Password = " "
Stupid Mode = 1
Baud = 460800
Init3 = AT+CGDCONT=1,"IP","YOUR APN HERE"