This guide explains a very easy way to reconfigure your ZTE MF626 HSDPA modem to be plug and play in Ubuntu in just 6 simple steps.
You will need a computer with hyperterminal (included with windows XP) to send AT commands to the modem. I'm sure there is a way to do this from Ubuntu -- someone with more expertise can correct me here. For now just borrow your friend's XP netbook while he is looking the other way. Please note that Vista no longer includes hyperterminal -- see here for information on alternatives.