Welcome to LQ! I hope you both learn to love linux.
"Setup.exe" is for windows, you do not need any of the stuff on your modem's CD, except the documentation.
USB modem connections are not handled well by linux yet, but the good news is that ethernet connections ARE!
So, get out to your nearest hardware place and buy yourself a NIC. Cheap is good! Anything by 3Com is likely to work straight away. Plug the ethernet card into your PC and connect it to the modem / router. Power up your PC.
You'll need to set up your router. Normally this is done through a web interface, for mine, I put http://10.0.0.2
into any browser (konqueror, firefox, whatever, it doesn't matter) but yours might be http://some.other.num.bers
(see your documentation).
Set it up with your password and whatnots. Flashing lights tell you if it has managed to connect to your ISP (see your documentation).
Now, if you reboot your computer, the connection will probably be established automatically.
If not, open a terminal, and type sudo dhclient eth0
(that's e-t-h-ZERO!), and you should be connected.
Otherwise come back here with details of your setup, and the exact problem.
Edit: Sloppy spelling!
PS if you run into problems, please tell us the exact
model numbers of your router / NIC.
It also helps us if you put your Distro in your LQ Profile, that way you don't have to keep saying "I'm running ubuntu x.y.z".