If it's a dialup modem and it's detected, simply try using the ppp front-ends (wvdial is nice for console, or if you use graphical environment, kppp for KDE or gkdial for Gnome or what there is to offer in the menus). They're more or less exactly how the old Windows dialup tools used to be; ask you a password and a username, dial number and a connection name..that easy.
If the modem is not detected (there is not a file called /dev/modem or equivalent), then you'll need to search for drivers for that modem. Hardware ("real" or "non-winmodems") modems should work right out of the box, but software ("winmodems") modems either don't work at all, or at least need a driver install.
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