Well if you're going to give up at the first hurdle, then fine, go back to windows/mac/whatever.
But if you like the way the "community" works and are prepared to do some learning then great.
So, you are posting, so I am presuming that you have 2 computers or you're dual booting.
the modem probably needs little research I presume it is a dial up modem?.
Try google.com/linux and then look there for "winmodems". I understand that there's a couple of site's that will tell you if the modem that's causing you hassle, is a winmodem, also one or more of the sites should tell you if there is a driver available for it.
From there, you would have to install it (for ease, you would want to find "an RPM" for it, though if you can only get a "xxxxx.tar.gz" then thats a little hassle, but not too much).
If you get an rpm, then it should install from your software manager. If it's the tar.gz format, then you will have to check around for install instructions (if you check here at LQ i seem to recall seeing some).
From there it should be just a case of configuring a dialer maybe kppp if you're using kde, or wvdial. There's a few around.
Sorry I can't give you blow by blow instructions, but having the luxury of a broadband connection and never having used a dial up modem under linux, I can only hope my ideas point you in the right direction.
I would point out that If this is your first try at linux, then you should appreciate that while it can take a fair bit of setting up, it's worth the effort. But IMO, one of the biggest failings, especialy for n00b's, is not the amount of documentation, but the quality of it. I've only been playing with linux for a year or so, and the doc's still confuse the f**k out of me.
p.s. for some "light reading"
have a look here