I have a Pocket Wifi E585 which had been locked to Vodafone. I have managed to unlock it using the procedure listed here: http://www.unlockguru.com/2011/06/unlock-huawei-pocket-wifi-mifi-e585-free/ . I won't rehash what the author has so well documented. I'll just list down the difficulties I encountered and how to overcome them.
First of all, the steps documented in the given website are full and complete. This is my first attempt at unlocking a mobile device and I succeeded, thanks to the precise documentation given.
The only problem after unlocking was the constant connecting and disconnecting that happened over and over again, making it impossible to start using the wifi. A quick google search shows that the key to this is to set the correct APN (Access Point Name) on the Pocket Wifi settings. One of the many useful threads is this: http://forums.whirlpool.net.au/forum-replies.cfm?t=1845171#r5
The website to get the correct APN for your service provider is: http://whirlpool.net.au/wiki/mobiles_apn. For example, for TPG Mobile, the APN is "internet". For Telstra, it is "telstra.internet"
Knowing what the APN is now, go back to the Pocket Wifi dashboard on your PC (with the Pocket Wifi connected) and set the APN in the Profile Settings and Connection Settings. You can set more than one profile. Apparently, only the correct one will be automatically selected and used. I had to do the APN settings many times before I finally got the right one to work. So don't give up if it doesn't work rightaway. You probably did not get the right APN into the right place.
Here is how I did my Profile setting (See image. Click to enlarge)