These devices are very peculiar, and vary a lot between models. Some appear as usb cdroms, some as usb sticks in addition to modems. In your case I'm guessing they might be for different HW (one for GSM speeds, one GPRS, one 3G), but that is just poking in the dark. It's just as likely that it's merely a weird device, and only one of the modem devices works.