You plug it in to start. Know which serial port you are putting it into. What brand is it, does it use the Hayes set or what. Have you tried access the modem with a communications program? What do you want to do with this modem anyway, send faxes?
For more information, see: http://www.tldp.org/HOWTO/Modem-HOWTO.html
Once you have some specific questions, perhaps someone can help you.