In short, it is a cellular phone that makes use of 3G technology for a faster wireless data connection.
By connecting the phone to the computer, either via a cable or Bluetooth, you are able to use the cell phone's wireless data connection on the laptop.
This, of course, uses a wireless data connection.
Even if you took the route of an unlocked phone, you'd be stuck with a GPRS data connection at best.
In general, this kind of wireless data connection provides a similar functionality as when consumers surf the web from home using a broadband connection.