It does not (yet) work out of the box. There is a little trick you need. You need to manually load the usbserial module supplying the vendor and product ID. You can find those IDs via the lsusb command. Just add an 0x at the beginning and then load the module:
sudo modprobe usbserial vendor=0x1614 product=0x0407
The support should be automatic in one the next upcoming Linux kernels, though. You can of course automate the module load with an entry in /etc/modules:
usbserial vendor=0x1614 product=0x0407
Then the module is always loaded in the right way at boot time and you just need to plug in the mobile phone for it to pop up in Network Manager (with the help of Mobile Manager). Once that's the case in Gnome with nm-util you can use an easy wizard that should already include your settings. In Kubuntu 9.10 the KDE support for connecting was broken, though. But it's fixed now in Kubuntu 10.04. Too sad many of these changes are never backported...
And now: Enjoy mobile Internet! (And don't miss my next entry on how to save traffic and speed up your new mobile internet.)
If you're in the UK, order your next Three SIM via my agent link, please.