If it's a Dell, I can guarantee it uses a Winmodem. The difference between a winmodem and real modem is that in a winmodem, everything that can be emulated with the drivers, is. Since Linux doesn't have the drivers, you would have to say your modem doesn't work in Linux.
That said, the OSDN has an answer to everything. Google for linmodem or "winmodem linux". Basically, you need to find out what chipset you modem uses, and get the proper linux driver for that chipset.