Does it even dial up? If you're using an internal modem, it might be (read:most likely is) a winmodem and might not work in Linux... Check linmodems.org... Chances are good you'll need to know what chipset you have to get your modem to work... Download the drivers on to disk and see if you can get them to work in Linux. I had a conexant chipset, and even with the drivers, I couldn't get the damn thing working. So I opted for shelling out $50 for an external modem that I KNEW would work with Linux... It was well worth it. (I too, am stuck in 56k land)
As far as having MSN, I think there are people who have it working in Linux, but I've never tried it myself, not being a big MSN fan... Good luck, though...