What distribution are you using? If you are using Mandrake like your profile says then go the the add/remove programs part of mandrake (i'm sure its in there someplace) and install the kernel sources, it is a few hundered mega bytes so make sure u have room to install first. Winmodems can definently work on linux, just not all of them. Visit http://www.linmodems.org
for a whole lot of information on the subject. For help installing you need to get more specific, but try installing the kernel sources then installing the driver the same ways u tried before, it may work.