Bit of a bugger really. Normally you'd have to look at this site
to check out the modem i.e. if it's a "winmodem". Because if it is, then it would probably be a case of getting the driver (if possible), and installing it to the linux system.
But if you're using knoppix, unless you've installed it to your hard drive (which worked brilliantly when I had it on my hdd), then it could prove a bit of a problem!
So, all I can suggest is that you have a good look here
instead. That's probably (IMO) the best knoppix resource and where you may find an answer about how to accomplish this problem.
Failing that, it would be a case of getting your hand's on an external modem - but you'd still have to check out the winmodem's link I posted above as some of them are winmodem's as well.
Sorry I can't be of more help