Do you mean that your modem is not supported under Linux or that you ISP has some authentication that only allows Windows to connect? If it is the modem, I would by another modem.
As I understand vmware let you run Windows and Linux at the sametime. You can assign the nic with 2 ipaddress. Them you can setup Windows with a proxy service such as the one at
www.analogX.com.
Yes vmware is expensive, but if you are in school I think that they offer a student discount. If all else go buy a P-233 PC and run that as your Windows machine. I think you could get one on Ebay for less than $100.
Other than that I am out of ideas.