NOTE: This tutorial concerns the Cingular 8525 with Cingular hardware and software branding. If you're using an 8525 that has been updated to the AT&T ROM (v2.15 or above) or the AT&T 8525, we've posted an alterative tutorial for the new software.
Additionally, though this tutorial concerns on the Cingular / AT&T 8525, the same general procedure will work with other select Windows Mobile handsets that feature the "Wireless Modem" connection utility. Check with your wireless service provider for handset compatibility. You'll also need different drivers (and settings if your phone isn't on the Cingular network) for other handsets.
Step 1: Get the Driver
In order for the Cingular 8525 to be recognized as a USB modem by your Windows PC, you'll need to install the correct driver. This driver is stored on the CD-ROM that shipped with your Cingular 8525, but it can also be downloaded here (right-click, select "Save Target As...").
Cingular / AT&T 8525 Modem Driver (Windows XP)
Cingular / AT&T 8525 Modem Driver (Windows Vista)
Once the driver has been downloaded to your Windows PC, it's time to configure the Cingular 8525.
Step 2: Enable Wireless Modem Mode
In order to connect the Cingular 8525 to your Windows PC as a modem rather than as a PIM (Personal Information Management) device through ActiveSync, you need to put the handset in Modem Mode. To do this, select Programs from the Start Menu, then select Wireless Modem:

In the Wireless Modem utility, select USB in the Connection Type menu. Bluetooth will also be an available option, and while it is possible to connect your Windows XP computer to the 8525 over Bluetooth for use as a modem, that procedure isn't discussed here. Press the right soft-key on the Cingular 8525 to open the Menu selector and select Start:

Once you've entered Modem Mode, connect the Cingular 8525 to your Windows XP PC using the USB cable that shipped with the phone.
Step 3: Seeing the Cingular 8525 as a Modem (Windows XP)
The first time you connect your Cingular 8525 via USB while in Modem Mode, you'll notice that ActiveSync does not pop-up as it normally would; instead you'll see the Found New Hardware Wizard:

Instruct the wizard not to search Windows Update for the driver, then click Next. When asked for the location of the driver, you can select the CD-ROM that shipped with the 8525 (Search removable media...) or you can point the wizard to the location on your hard drive where you stored the downloaded driver:

Following the driver's instructions, Windows will see the Cingular 8525 as an HTC USB Modem. Allow the driver installation process to complete and ignore any messages regarding Windows Logo testing. If all goes well, you'll get this message:

Step 4: Configure the Cingular 8525 Modem
Now that your Windows PC recognizes the 8525 as a dial-up modem, you must create a new dial-up connection to use it. On your PC click Start > Settings > Control Panel > Network Connections. In the Network Connections window, select Create a New Connection:

The New Connection Wizard will guide you though the process of setting up the Cingular 8525 USB modem connection. The first three steps involve defining the type of connection you want to create. Check the following selections:

You will next be asked to name the connection. Choose any name you wish, but "Cingular Wireless" or "Cingular 8525" would be easily identifiable choices. Next, you'll be asked to enter a phone number. If you want to use the Cingular data service, enter *99#:

The final step is to enter a username and password. These must be entered exactly as follows, including capitalization:
Username: WAP@CINGULARGPRS.COM
Password: CINGULAR1

Unless you'll only be connecting to the Internet using the Cingular 8525, it's best that you de-select the Make this the default Internet connection option. Click Next. Uncheck the box for the desktop shortcut option if you don't want a desktop shortcut for this connection.
Step 5: Connect to the Internet
A new connection will now be in your Network Connections menu. The connection will have the name you assigned:

All that's left to do is connect and surf.

Final Thoughts
The speed of your connection to the Internet with the Cingular 8525 will vary depending on your signal strength, the type of network Cingular Wireless has in your area, etc. You'll also need a data plan from Cingular in order to use the handset as a dial-up modem when connecting to the Cingular (now AT&T) wireless data network.
If you want to dial into another ISP, you can follow the same method shown above, but when the time comes to enter the connection name, username, password, etc., enter the settings provided by your ISP.
As mentioned, the Cingular 8525 can be used as a Bluetooth modem as well. For more information on the Bluetooth connectivity procedure, take a look at this tutorial.