Your best bet, in all honesty, is to purchase an external modem if you have trouble setting up your winmodem. Winmodems are pretty hard for newbies (like me) to get working; many people I have spoken to - myself included - found the documentation hard to follow in getting a winmodem to work. The instructions on *what* to do are very clearly written, but sometimes problems arise that are not addressed in that documentation.
External modems are much easier to configure. When you see a version number sporting an EVEN number after the decimal point, like x.0 or x.2, this means that version is considered very stable. Not so with an odd number after the decimal point, like x.1 or x.3. I found Mandrake 9.0 worked much better on my pc than 8.1 did; 8.0 was also a great introduction to Linux for me (back when I still used dial-up for the internet connection).