Physically, just unplug it. Assuming it's a winmodem (hopefully not so) then just open up the Mandrake Control Center, search for "modem" under installed software, and remove the .rpm package that matches your modem -- there should only be one installed. Most likely it will be something like slmodem-foobar.rpm, or ltmodem-whatnot.rpm.
After you've plugged in the new modem, it should be fine as is (if it's a pure hardware modem). If the new one is also a winmodem, then you'll have to find the correct software to install first (check Mandrake's pages, along with
www.linmodems.org).
Cheers,
mj