Most mobile broadband dongles are easy to set up - usually plug and play. Windows should find the drivers and the included software (which is loaded on the 3 dongle; not sure about the others) will start automatically. Follow an few on screen prompts and you're connected.
I know the T-mobile dongles used to include the software on an cd labeled "web and walk" not sure if they still do that,
And yes dongles can be used on all Windows, Linux, MAC both laptops and desktops.
Others would advise you to check out the support pages of the provider first to check your coverage; mine reaches about 256kb\s in non peak times. peak times drops down to about 60kb\s.