It is posible to use the HTC Hero as a USB 3G modem with Windows XP and Vista.

In order to use this functionality, the HTC Sync software must be installed onto the PC first (http://blog.brightpointuk.co.uk/synchronise-htc-hero-microsoft-outlook).

The HTC Sync installer is included on the SD card that comes in the Hero sales package, or alternatively is available for download from our FTP site:
ftp://ftpaccess:Brightpoint1@ftp.brightpointuk.co.uk/Technical%20Support...

You can download the software to your PC, or insert the microSD card into a suitable reader to access the software.

Once installed, on the Hero device browse to Settings --> Wireless Controls and enable the option to enable Mobile Network Sharing. Now connect the Hero to the PC via the supplied USB cable. Windows will detect the new hardware automatically and install an "HTC Remote NDIS Network Adapter":

Provided that your Hero has a cellular data connection, you will now be able to use that connection from your PC.

Addendum

For details on how to configure Windows 7, read this article - http://blog.brightpointuk.co.uk/installing-htc-tattoo-usb-modem-windows-7