The downside to connecting to the Internet via a modem is whether your ISP supports dialup accounts and the cost. So it kinda makes more sense to connect through your PC proxy to broadband (if this is what you're using.)
"As i understand not too simple to make it work on a a500."
It's not complicated to achieve, just awkward and slow.
"But i have just got my A600HD up and running. KS 3.1 wb 3.1 installed on the HD!"
This would be better suited.
"Then you say, buy a PCMCIA card! but no! thats no sport!"
Just use the methods as already detailed for the a500 if you prefer the challenge.
"Just maybe irc-clients and instant messages! "
Problem with using the proxy technique is finding a Proxy Server that supports the IRC / AIM ports, and clients that can be configured to point to proxy ports.
It is better to use PCMCIA and take advantage to the benefits of TCP.
Skipster.