Well ... I have to search a lot to find the way to use my Sony Ericsson w810 mobile phone as a modem and enjoy internet in Ubuntu linux. And After searching a lot, I found the solution quite easy! It's so simple. You just have to write three commands sequentially. These commands work perfectly with other mobile also, not necessarily with SE only.
At first, open a terminal and run this command and it'll show you the connected modem:
sudo wvdialconf /etc/wvdial.conf
Now, open the file wvdial.conf with gedit or mousepad(depends on whether you are running Ubuntu or Xubuntu; I use Xubuntu)
sudo mousepad /etc/wvdial.conf
You have to set the username, password, dial no. and un-comment those three lines (normally those are commented with a '#' sign at the beginning of the line. Wipe out those '#' sign). Leave other lines unharmed.
Finally, just run this command:
and you'll be online immediately! Remember not to close the terminal, minimize it while you are running other programs.
That's it :)