I has similar problems with UDEV after a kernel recomplile. Basically, it couldn't see my cdrom drive. Anyway, I can't remember how i solved it, but i think i upgraded UDEV to the lastest version and recompiled.
The version of Udev in slack 10 is pretty early and as urka58 says, it's far from perfect. Anyway, if you cd to /dev then plug your USB modem into the slot it should create a new device. the operative word being 'should'. If you do 'ls -lsrt' after a few mins the latest device should be there. If it doesn't then i guess there is a problem.
I'm not an expert on UDEV. But check the config files - they tell you what kind of device should be created.
Get udev from www.slackware.com
in the current part. You can search.