To answer your questions:
1 = Not quite.
2 = Quite possible.
1. Winmodems are cheap modems (cost-wise) and most people buy the cheapest modem they can get, therefore they end up with a winmodem. And are quite happy with it until they try Linux.
2. If you have a winmodem (try http://www.linuxnewbie.org/nhf/intel/modems/index.html
for lots of links on this topic) you may be able to find patches to get it to work with Linux. If not, you'll have to buy a modem. Quite a few people recommend buying an external modem because it most certainly won't be a winmodem. I have a US Robotics internal modem that works great in both Linux and Windows that I had to buy after running across this same problem. Granted, it took me a few weeks of tweaking and reconfiguring to get the modem to work, but it was a great learning process.
That's the point to keep in mind. Most things in Linux will not come easy. But you'll learn alot. I've seen posts from people who took several months to get their modem configured correctly for one reason or another. If you get too frustrated, give it a miss for a few days and then try again.
With some perseverence you will get it (as long as it's not a winmodem