If this is a so called "winmodem" you're bound for some hardcore Linux :-]
Since you didn't include info on what modem you've got I suggest you read the "Status" part at http://www.linmodems.org/
and search the database at http://www.idir.net/~gromitkc/winmodem.html#drivers
to determine if you've got a winmodem.
If this doesn't work return the necessary info mentioned there and we'll see...