When something doesn't work like this it's usually best to forget the graphical stuff for a moment; it is usually easier to do it by hand.
- how are you connecting?
|- internal 56k modem
(is it WinModem or a "Real modem")
(- a modem is supposed to convert analogue <---> digital for a phoneline but a winmodem doesn't do this, it just provides somewhere to plug a phoneline into and tells the operating system to do the work.)
|- External 56k Modem
|- You've got a broadband setup of some sort
For getting help: always give much more info in the future. We don't even know if you have plugged your computer into a phone line at the moment
For all we know you might be at work using Mandrake.
Good luck with good question asking