I have read through the Quick Installation Guide (pdf file) and have to confess to being quite confused by it.
At some point it is necessary to "dial" into the 3G service in order to Connect, i.e. to get from blinking blue to steady blue. The "number" to dial will be a GPRS type, such as *99***1#
If you plug the dongle into the PC (with its software properly installed) there will be a dialup connection in the Network Connections folder. Double clicking this will connect to the service and, when using the router, it [the router] needs to be able to perform this function.