First, I just noticed that BigJ has posted a new Rom. Since I love his stuff, I'm downloading it now.
Second, here's how to setup the USBModem connection on an N800.
On your phone:
Turn on bluetooth and launch USBModem and "enable" it so the N800 can see it and recognize DUN. On the N800:
Control Panel
Bluetooth: On and visible
Devices
New
It should find your phone and DUN

Connectivity:
Connect automatically: Phone connection
Search interval: I have it set to never
Connections:
Create a new connection using you cell providers requirements. I use Sprint.
Data call
Dial up number: #777 for me
Finish

Phone:
Pick your phone
OK

You're done. Click the Connection icon in the top status bar on the N800 and select the connection you just created.

Should work.
Let me know.