Connecting your Mac to the internet is easy with your compatible Nokia 5800xm. You'll need a data connection (such as GPRS or HSDPA),a USB cable(comes with your Nokia) or a Bluetooth-enabled Mac, and a network subscription with your mobile service provider for data conection.
1.First, you'll need to set up your device to act as a modem.To set up your device you'll need to know your operator's Access Point Name (APN) and have the packet data service enabled. For help with this please contact your operator.
2.On your device locate and open the Settings application. This is normally in the Tools folder. In Settings select and open Connection.
3.In Settings select and open Connection.
4.Select and open Packet data.
5.Select and open Access point.
6.Type in your operator's Access Point Name.
7.Press Back
8.Exit Settings. Your device is now ready to be used as a modem for your Mac!
Then, you'll need to connect your Nokia device and your Mac in order to access the internet. You can use a USB cable for the connection, or connect wirelessly through Bluetooth.
f data transfers via USB data cable are supported for your Nokia device, you may connect the device to your Mac via USB cable.
On your Nokia device, choose PC Suite mode when it asks how to connect.
use your connect to internet option from your pc suite and you are ready to go...

I did it. First of all U must uninstall any Nokia applications like PC Suite or Owa and so. And then install Nokia PC Suite 7.1.30 again then connect your mobile phone. It takes 10-15 seconds to find mobile phone's modem. Everything'll be OK. Please check modem ports, because can be different. Just change com port.