I am trying (unsucessfully) to set up 3G Internet access on a DrayTek 2820.

I have a '3' Mobile Internet dongle (Huawei E156G) which works perfectly when connected to a laptop computer.

So far, no luck with it connected to the 2820.

What are the settings? The guide is somewhat vague.

I've had the same issue with an E220 dongle on t-mobile, which I believe is on the approved list. Dongle worked perfectly on a laptop nearby but wouldn't connect at all through the 2820.
Would be interested in any outcome to this, even if Draytek say it won't work - at least I would have an answer.

Does the modem detect? check that first on the Online Status page, it'll show an icon of a mobile phone if it detects the modem ok. Which is the first step.

Next is set it up following this guide: http://draytek.co.uk/support/kb_vigor_3g.html all you really need to enter on the 3G settings page is the APN name, which are listed per provider at the top of that page.

Then check the Online Status page again for any error messages in the WAN 2 Status bit, if it says "PPPoE: No response from server side" then congrats, your router's configuration is odd and to get 3G working you are probably going to need to clear the configuration on the router back to factory defaults (only seems to happen on new routers)
Otherwise, if it still doesnt connect, check the APN name, it might be different from the ones listed on the setup guide because the providers change them as they release new mobile bb packages, the best way to find out the APN is to plug the dongle into a PC and look through the connection manager's profile settings for the APN name, which will be the correct one.