I use my laptop when out and about with my Ericcson T68 via IR and it works fine, as long as you don't move either of the devices as you lose sync between phone and laptop. Ericcson have a little bit of software that you load onto your computer and are the modem drivers that turn the phone into a proper modem. It even has the option for HSCD (think that's the acronym - stands for High-Speed Circuit Switched Device as far as I know) which basically means you get 33k6 as oppised to 9k6 data connection. your network has to support this technology however.
The best way to go would be to use GPRS (General Packet Radio Serivce) which is an always on high-ish speed wireless connection technology. I believe the Nokia you have/want supports both HSCD and GPRS. Bluetooth is certainly the way to go for local connectivity between a laptop and mobile phone cos it's wireless and is very reliable and more than quick enough. It is quite expensive however if your laptop isn't Bluetooth compatible. Your looking at maybe £100 for a PCMCIA card which makes your laptop Bluetooth compatible. You still, of course, need an onward connection to the internet via either standard dial up for GPRS.