For the audio and video files you probably need codecs, as they haven't been shipped with distributions for a long time (for several righs-based reasons). I don't remember exactly, but if you use Xine as the player, or as the backend for some other player, you need libxine and libxine-extracodecs to play most formats like mp3 etc.
Using a phone as a modem is new to me, but if you don't have any software for it on a cd from Nokia, take a search at Google if you can find any. Basically it should just work as a modem, so appear as a device file in the system, but then again as I don't know exactly how it works I'm not sure (and that's why you might need some special software for it).
An internal modem can be used in various ways. One good way is to use wvdial
, first run wvdialconf
(or similar, if it wasn't called exactly that) and after it has recognized your modem, fill in username and password and start using it. More information can be read by issuing in a console:
That's for console. For a graphical desktop you can probably just use apps like Kppp
or so. I'm not sure if you can use them directly with your cellphone, but first of all I'd go and search from Google.