Provided that your SIM card is enabled for GPRS / 3G Internet access with your provider, then you can use the Nokia E71 as a modem to connect to the Internet from your Mac via the USB cable.

There is no need to install any additional hardware or software. Simply connect the E71 to the Mac via the USB cable.

The Mac will detect the new hardware automatically:

In the Telephone Number field enter *99#

In the Username and Password fields enter the appropriate details for your network provider:

Vodafone - 'web' for both

Orange - leave blank

O2 - 'web' for both

T-Mobile - leave blank

Three - leave blank

Click on the Advanced button:

On the Modem tab, set the Vendor type to Nokia. The Model number will complete automatically.

In the APN field, enter the appropriate information for your network provider:

Vodafone - internet

Orange - orangeinternet

O2 - mobile.o2.co.uk

T-Mobile - general.t-mobile.uk

Three - three.co.uk

Click OK and then Apply.

Click the Connect button. after a few moments you will be connected to the Internet:

ADDENDUM - if you are running firmware version 300.x.x or later on the E71, the instructions are slightly different.
To locate the firmware version on the E71 simply enter *#0000# on the keypad.
Later firmware versions cause the device to be detected as a USB Storage Device by both PC and Mac if the phone is set to 'Connect PC to Web' mode. Whilst this works fine on PCs, it does not on the Mac - the software stored on the virtual USB storage device being only intended for the Windows platform. Instead set the E71 to PC Suite mode - this will cause the phone to be recognised correctly as a modem.
To adjust the USB mode, browse to Menu --> Connectivity --> USB