The major problem was that in my Ubuntu and Fedora linux, I just could not use it. When I enter dmesg at the Commandline terminal, it detects it as a CD drive.
So after seeking lots of help online I finally got a way to go round the issue.
In my windows XP, the device manager alloted COM19 to the modem. I went straight to hyperterminal and connected to COM19 using the usual "8-N-1 None" settings, you can put the baudrate at any value. In the terminal I simply entered
AT+ZOPRT=5
AT+ZCDRUN=8
This will change the default mode of the modem from the CD drive to the modem mode. But you will not be able to install the software that came preloaded into the device, so if you want to use it on a new windows system, you might have to run AT+ZCDRUN=9 to enable you install the MTN or any other proprietary software that came with the modem.
After that your Linux system will now identify the modem and make it available as /dev/ttyUSB2 or /dev/ttyUSB3 ( I think /dev/ttyUSB2 if you do not have 3G or HSDPA and /dev/ttyUSB3 if you have the service on the network). You can now use your preferred Point-to-Point Protocol connection tool.
If you are using Fedora 11 or 12, you can go to System, Preference and Network connection for very easy configuration of the modem.
Just click on Mobile Broadband and Add.
Enter the internet settings as given you by the network provider, in the PPP setting untick all the compression methods, and the allowed authentication method should be PAP alone (except if your provider specifies any additional one).
With this done, you are ready to go, just click on the network icon on the task bar and choose the network you just configured.
For Ubuntu, mandriva and other distros including fedora, you can use any PPP tool -- gnome-ppp, kppp and wvdial. Just specify the right device address.