If you are using E71 with firmware 400.21.013, Nokia PC Suite version 7.1.40 and Nokia PC Internet Access version 1.1, and having problem to connect your PC with the internet using E71 as a USB modem, i'd just want to share that i had the exact same problem.
This is how i solved my issues:-
1. Download the latest Nokia Connectivity Cable driver version 7.1.22 from HERE or HERE.
2. Run the installer. I was given a menu to either repair or remove, i chosed 'remove'.
3. Restart PC.
4. Connect the E71 to PC. Choose "Connect PC to web" from the E71 screen.
5. Nokia PC Internet Access software should start on its own, it will display "preparing your nokia E71 device". Let it run for a minute. It's supposed to connect to Windows driver and should install the drivers for the E71 as USB modem.
6. If it doesn't install any drivers within 5 minutes, just cancel Nokia PC Internet Access, go to the windows program menu and click uninstall the Nokia PC Internet Access. You'll be given an option to 'remove' or 'repair', select 'repair'.
7. Restart the Nokia PC Internet Access and this time it should install the drivers for the E71's USB Modem.
Good luck trying! Let me know if this solved your problem as well. :)
EDIT: One Touch Access (Nokia PC Suite) now also works as it can now detect the USB Modem.