I would be careful about tethering the BB as a modem though. I've heard of people getting ginormous monthly bills because of data usage. I wouldn't go downloading anything, also, the last I heard RIM didn't support this feature. They have a KB on setting it up but beyond that they can't help as it may be a service provider issue/PC/USB Port/etc. That could have changed by now but when I was in BB Support with RIM it wasn't supported after following the article for setup.
Here is an article about using your BB as a modem with links to other KB's for particular models: BlackBerry Search Results
Hope that helps.