Net though Cellphone

OK, I'm about to kill myself over this because everywhere you see datacables for cellphones, you see stuff about being able to connect to the internet though them. HOW DO YOU DO THIS?!

I have myself a cable for my phone, and it works. I can send backgrounds and all to it. However, I have no idea how to connect to the net. I tried just installing a generic modem on the port where the cable was installed(it's a USB cable that emulates a com-port) and I could actually query the phone and get something back. It would have my phones name in the jiberish and all. However, every time I try to connect to the net, I get that it can't get a dial tone. Thats kinda a duh, but what can I do to fix this?