I've heard folks talk about using Internet Connection Sharing with Windows Mobile. This on-device application allows a device to act as a modem for the laptop.
While this sounds like a must-have for tethering users, so far I haven't needed it for my AT&T Blackjack setup. (AT&T leaves this command off anyway.) When I connect my device to my Vista laptop, it loads a Samsung modem driver automatically for me. After adding a dial-up entry per AT&T's instructions, I'm ready to go in a few easy steps: on the device set the USB mode to "modem" from "activesync", select my new network connection in Vista, and then I'm connected to the Internet. And this worked great in the beginning. For example, during the week of MIX, John and I worked several late nights after attending MIX events connected to our corporate network (and avoiding the hotel network fees).
Several weeks later, I started getting this Vista error 629 when attempting to establish a connection to the AT&T network. After contacting AT&T support, I was told about this initialization string which fixed my problem. I had not heard of this before, but I recently found this explanation which has the crazy string: AT+CGDCONT=3,"IP","isp.cingular", which is used in the "Extra Initialization commands".
Just in case you need this...