Provided that your SIM card is enabled for GPRS / 3G Internet access
with your provider, then you can use the Nokia E71 as a modem to
connect to the Internet from your Mac via the USB cable.
There is no need to install any additional hardware or software. Simply connect the E71 to the Mac via the USB cable.
The Mac will detect the new hardware automatically:

In the Telephone Number field enter *99#
In the Username and Password fields enter the appropriate details for your network provider:
Vodafone - 'web' for both
Orange - leave blank
O2 - 'web' for both
T-Mobile - leave blank
Three - leave blank
Click on the Advanced button:

On the Modem tab, set the Vendor type to Nokia. The Model number will complete automatically.
In the APN field, enter the appropriate information for your network provider:
Vodafone - internet
Orange - orangeinternet
O2 - mobile.o2.co.uk
T-Mobile - general.t-mobile.uk
Three - three.co.uk
Click OK and then Apply.
Click the Connect button. after a few moments you will be connected to the Internet:

I am not comparing the two, but this article required 3 screenshots, the Windows article I wrote a few minutes ago required 14!
It is also useful to note that when connecting to the Internet via the USB interface, you are establishing a network connection to the Internet. When connecting via Bluetooth you are establishing a dial-up connection to the Internet using the Bluetooth dial-up adapter. The upshot of all this is that if connecting via USB you will find that you are able to use most VPN client software (including the commonly-used Cisco VPN client), whereas when connecting via Bluetooth the VPN client will not be available.