Since Ubuntu 9.10 Karmic Koala, Ubuntu has an inbuilt way of sharing any connection. There are a couple usage scenarios for this:-
You want to share your mobile broadband connection with other computers on the network
You want to use your Ubuntu machine to extend your network wirelessly e.g. Your laptop is connected to the network via it’s wireless adapter, which is then connected to another machine via a CAT 5 or CAT 6 cable, enabling the other machine to connect to the network and internet.
I wouldn’t envisage using this to share a DSL broadband connection since most people will already be using an ISP supplied router to do this.
Using it is as simple as enabling the method “Shared to other computers” in the network connection in network manager.
This turns your machine into a mini DHCP/DNS server and starts handing out IP addresses in a 10.x.x.x address range. The machine then NAT/routes any traffic coming in on that interface and forwards it to the networks real gateway. I’ve used it a few times now and it works well.
First of all I’m assuming you have your HSDPA modem installed and working. Secondly you really need to have Windows firewall enabled. Thirdly, and by no means least, you should consider why you want to do this and what you are trying to achieve. Internet connection sharing is unstable in Windows XP and often breaks in such a way that you have to disable and re-enable it and even then it may not work. If you a looking for something reliable that will work every time you should consider reinstalled your PC/laptop with Ubuntu or some other Linux distribution and sharing the connection from there.