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Even the Nokia website says DKU-5 cable is not meant for Nokia 6020 and it requires CA-42 cable. (details)
So, we are left with only two options:-
1. Go for CA-42 cable or
2. Use IrDA adapter (like me using Mobile Action MA-620 IrDA, )

But recently, I just played with Windows Registry (Windows XP) for some time and discovered that Internet can be accessed through DKU-5 cable… and even PC Suite is not required.
So, here is the detailed procedure to do the same. You should have administrative privilege for this:-

Step 1: Install drivers for
Nokia Connectivity Adapter Cable DKU-5
PL-230 USB-to-Serial
Nokia Connectivity Cable Driver (all 3 available in DKU-5 driver CD)
Nokia 6020 modem
Restart the computer.

Step 2: Go to control panel -> phone and modem options
Delete any entry for Nokia 6020 modem

Step 3: Open regedit and go to

My Computer\HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Ras\Tapi Devices\Unimodem

and change the values as shown in the fig. i.e.

Address- COM1 COM3 COM5

Friendly Name- Nokia 6020 Cable

Media Type- Modem
Usage- ClientAndServer

close regedit and restart the computer.

Step 4: Go to Control Panel -> Phone and Modem Options -> Modem

Add a new modem by checking “Don?t detect my modem; I will select it from a list”. Click next.

Step 5: Select the modem as Nokia 6020 Cable.

Click continue anyway when it says “driver is not digitally signed”

Step 6: Select the port as COM3, COM5… except COM1 and COM2 as they are physical ports and to connect it requires virtual COM ports.
Click next.

Step 7: After installing the modem go to Control Panel -> Phone and Modem Options -> Modem

Click properties -> Diagnostics-> Query Modem.

It shows
“Success”

Now the next step is to make a new connection.
Go to Control Panel-> Network Connections
Create a new connection

Step 8: In Network Connection Type
Select “Connect to the Internet”

Step 9: Select “Set up my connection manually” click next.

Step 10: For Internet Connection
Select “Connect using a dial-up modem”. click next

Step 11: For Connection Name
Type the name of your ISP in the box (for me its Airtel). Click next.

Step 12: For Phone Number to Dial.
Put your ISP’s phone number (for me i.e. Airtel it is *99#). Click next.

Step 13: For Internet Account Information
No need to put any user name/password info.

Now the Internet connection is created. So the final step is to dial and hence connected.

Make sure that you have subscribed for Internet connection (Mobile Office, in case of Airtel).

Enjoy surfing.