I had the same problem. Chances are that your modem is a win modem and we all know that windows modems do not work in linux. But there are a few exceptions (drivers). You can check this page out to see if they have drivers for your modem.
Luckly, my modem had drivers and now it works, but with just a few problems. Anyway, if you have a win modem you best bet is to get an external one if the budget supports that. Hope this was of some help.