NOTE - in this article I used the Three-branded E156. The appearance of the connection manager software may differ for SIM-free units, but the connection settings will be the same.
Insert the Huawei E156 into an available USB port on your PC. Windows will detect the new hardware automatically and launch the installation wizard:

Select your desired language and click OK, the following window will be displayed:

Click Next. If using the Three dongle, the following window will be displayed:

Select 'UK H3G' and click Next, the following window will be displayed:

Read the license agreement and click I Agree if you accept the terms and conditions. The following window will be displayed:

Specify the location where you wish the program files to be copied to (you can leave this at the default unless specifically required). Click Next, the following window will be displayed:

Enter the name of the folder that will be created in the Start Menu, again this can be left at the default value unless specifically required. Click Install.
The required program files will now be copied to the PC and the drivers for the modem installed. When complete, click Finish:

The connection manager will now launch automatically. If it does not, an icon for the 'Mobile Partner' application will have been added to the desktop, double click it. The following window will be displayed:

If you are using a Three SIM, then you can initiate a connection to the Internet by pressing the Connect button. If you are using a SIM on a network other than Three, then the connection settings must be entered manually. Click on the Tools menu and select Options. In the Options window, select Profile Management:

Select New.
Enter a name for the new profile, this can be anything to identify it to you.
Set the APN field to Static and enter the appropriate APN for your network operator:
Vodafone - internet
Orange - orangeinternet
O2 - mobile.o2.co.uk
T-Mobile - general.t-mobile.uk
Three - three.co.uk
Leave the access number set to *99#
Enter the appropriate username and password details for your network operator:
Vodafone - 'web' for both
Orange - leave blank
O2 - 'web' for both
T-Mobile - leave blank
Three - leave blank
Click Save, then Set as Default.
Click OK to return to the main window. To initiate the connection, click the Connect button.