What kind of modem do you have? If it's internal or USB then you might need a driver, especially if it turns out to be controllerless. More info here.
A few years ago I had so much trouble with a winmodem that I bought an external modem with a serial connection (as these are always supported), but things have moved on a bit since then.
If it's a USB modem, type sudo lsusb
in a terminal (sudo lspci -v
if it's internal), and somewhere among the output will be the modem's name and a number identifying the chipset. Googling the number will often take you to a driver and/or instructions, or just post the output of lsusb here.