Look in the HCL list on this site for your modem. Is it a winmodem? They can be very difficult to get to work in Linux because of their incomplete design.
This site might help you out:
http://linmodems.org/
For your general question about installing hardware; your first step is usually to determine the controller that the device uses with the command "sudo /sbin/lspci -v". Then locate which kernel module needs to be loaded to control the device. Sometimes, all you need to do is to modprobe that device, it the kernel was compiled with support for the device.
For some classes of hardware, like HP printers, you install a package for support. ( hplip for hp printers ).