Strange behaviour. Usually if a Huawei modem is locked, it will require an unlock code to be entered after providing the PIN code. I assume it is pure coincidence, that the modem did not appearing with other SIM cards inserted. Further at least the E220 sold by Vodafone Germany did never have any lock.
Actually with XP sometimes the same problem as in Vista occurs, i.e. the PC does only detect the massstorage component of Huawei modems.
Just follow the instructions for Vista/7 on your XP machine, as described
here in German and then run the dashboard update, which will remove the Vodafone software.
If you still run into problems try another USB port of your computer or try to run the firmware update on your Vista computer.