Technically the sim has nothing to do with hsdpa once its an up to date 3g enabled sim. its actually a billing issue. For instance you use your regular sim (bill pay or prepay) and you would normally be charged 2c per kilobyte theres 1024 kb in a megabyte so you would be charged 20.00 euro per megabyte theres 1024 mb in a gig so that would be roughly 2 grand where's the sim that you have in your modem it bills you 20-30 euro (depending on network) for 10 gig's. (much better value)
O2 as far as i'm aware have recently launched or are just about to launch an add on where you pay the 30 euro (normally paid on your modem) on your regular bill and they give you ten gigs to download for all customers using a hsdpa handset (e.g nokia n95 nokia e61i etc) thus removing the modem out of the equation alltogether. the other networks have differnet data add on's and your probabaly better of checking online or giveing them a call to see whats the best option.