Well make sure you have a real modem. By that I mean not a WinModem, which is a modem that's really stripped down, and the software does most of the work. You need a full hardware modem, which I doubt you have, since WinModems are cheaper and come preinstalled in most machines.
LinModems is a project that allows you to use a WinModem on linux. You need to find out the chipset, and they have a tool that figures that out for you. So visit the site, follow their instructions, and hopefully your chipset is supported.