Is your modem an internal or external modem?
You have to check to see if your modem is a h/w or winmodem, winmodems use windows s/w and have very little support on Linux.
Internal is more than likely a winmodem and external is a h/w modem.
What distro are you using?

Use the site that R45C4L provided to check the chipset of your modem and see if it is supported!

Hope you dont have as many probs as i had!

Cheers

r3b00+