That's kind of annoying, as the descriptions of the eBay auctions linked above state the sticks to support only 3.6 MBit/s, which only applies for the K3565-H (from Huawei). The K3565-Z, which you received, actually supports 7.2 MBit/s. So leave a negative feedback for that seller!
Anyway,
mwconn, a free dashboard compatible with a lot of data devices, should work for your ZTE stick. Don't forget to install the Vodafone Dashboard anyway, as mwconn does still need it's integrated drivers.
By the way Mediamarkt currently sells the Vodafone K3565 for € 27 and according to several postings it's the Huawei version.