Another solution is to *not* install any third-party software.

Your modem (an Option Globetrotter Express or GT), like most EDGE/3G(+) USB modems is natively supported by MacOS X, and as such will appear as a new network connection the first time you plug it in.

You can then configure it like you would any other network port; in particular simultaneously connect to another network like the poster wants to.

Other modems (like the Novatel Wireless XU870 sold by Orange) are also natively compatible (note that there is not software difference between ExpressCard modems and USB modems -- in this case ExpressCard is just a fancy USB connector).

If your modem is supported by the OS, if you removed the SIM lock (the OS does not have an interface to enter the SIM) and if you able to obtain the correct connection parameters from your provider.

I used this route with a Motorola Timeport (from the year 2000) connected via IRDa using native GSM speeds (yes, 9600 bauds or bit per second) and with a Motorola Razr with GRPS (~30 kb). Finding and downloading appropriate drivers and more importantly extracting the correct connection parameters from the providers was a major pain.