Thanks for your help, Fax. Much appreciated!
I set up the Dongle in Zone Alarm as you suggested, including two DNS Server IPs and now that annoying pop up doesn't appear. Checked out the internet and email: both working OK so I haven't killed anything off in the process!
However, I am puzzled (having initially accepted default settings from ZA) at the setting you suggested: Exclude networks from the Trusted Zone upon detection.
What effect will this have if I use the laptop at home on my own home network (wireless modem)? Is there a setting that will cover protection with mobile use AND still allow my laptop access to the internet at home? i.e. with best protection.