if the phone has an i in the model it usually has a datacard built in, then you just need the usb cable that comes with the phone if your not going for a bluetooth setup
the bundled cd usually has network connection app on, setup up and piss about scanning your phone for dialup settings, then its 60kbs down and 5kbs up
It has been possible for 10 years. The difference is that now it has decent speed if you are on 3G and it's become somewhat affordable. My phone company allows 200mb/month before they reduce bandwidth to 100kbit/s and max price of 1.1 euro per day. Actually on my phone right now since the guy was supposed to hook up my DSL failed to finish before his work day ended.