First, the obvious...
Are you using a Modem Cable and not just a standard serial extension cable? Some (if not all) external modems need a special cable.
Is the modem turned on?
Does the /dev/modem symlink need to be "setserial"? Read "man setserial" if you don't know how to do this.
Do you need to point to a /dev/cua* device instead of a /dev/ttyS* device? I have never used an external in Linux, but for OpenBSD, they have special device entries for external modems as opposed to interal. Anyone else know?
Otherwise, it could be a misconfiguration, or a bad cable or connection somewhere. To check this have you tried using "minicom" to manually dial out?
Hope this helps. Sorry I can't tell you more.
Happy Hacking
