First you have to figure out what kind of modem you have and if it's compatible with linux. Most pci modems are either incompatible or hard to setup in linux. Here is a link to a web site that can help with modems:
http://linmodems.technion.ac.il/
Here is another link for compatible modems in linux:
http://www.linuxquestions.org/hcl/index.php/cat/121
Puppy linux just about the easiest for setting up dial up, and has good support for winmodems. If you have a modem that is incompatible the next best thing is to buy an external modem that is compatible that connects to your serial port.
Dial-up can be setup in just about any distro. if you prefer another distro, I or somebody else can help you out. Once you have a working compatible modem and know what port it is on the rest of setting up dial-up isn't to bad. by the way what isp are you using?