Well, the first place to check would be linuxquestions.org's HCL (hardware compatibility list). But since the modem you linked to isn't listed on there, the next stop would be
www.google.com/linux. Then just search for the model of your modem and see if you find any results that recommend it or claim it works in linux. Like this one:
http://lists.q-linux.com/pipermail/p...er/012367.html
According to the guy that answered the question in that link, the speedcom external 56k modem will work fine in linux. It would probably be best if you went with serial instead of usb.