It might help if you let us know what kind of modem you have
If it's an internal model, you're going to struggle as most internal PCI modems don't work very well. Typing "lspci" from the console and pasting the output back here will let us know what kind of internal modem you have. There is a site for getting some winmodems which might be worth looking at - http://www.linmodems.org
Or, if you have an external serial modem or cable modem, again, let us know what make + model so we can you up + running. Ubuntu is usually pretty good with those devices so it shouldn't be too hard.