Solution found! Thanks for sharing Mark! My model is a MF626 and my ISP is vivo (Brazil), but that Vodafone ZTE Driver might work on other ZTE Broadband Modem models and ISPs too. Download the Driver here: http://is.gd/FTaImq
Install it, but don’t use the Vodafone interface, use the Mac OS X Lion Network Preferences, just set up a new connection and you’re ready to go : )
Take a look on the comments below for more detailed information!
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