When the 3G modem/card is connected to your computer, it is controlled by the preconfigured utility software (provided by your 3G service provider) installed on your computer; therefore the internet would work straight away.
When the 3G modem/card is connected to your N3G002W router, the APN (Access Point Name) configurations on your N3G002W must be specified for your ISP.
The required configurations for various providers are as follow:
YES User/password only
VirginBroadband NO (PAP)
The configurations may vary according to your service provider's network, therefore you still need to contact your 3G service provider to confirm required configurations.