If you have a built-in modem, you may have to install a module for it. You'll should try to find a forum message that deals with your particular brand. If it is a serial modem, you should be able to get it to work without any software.
Try rujnning kppp from the command line. You have to configure it. Do it manually, don't use a wizard.
Bring eth0 down if your ethernet is up. Use, as root:
/sbin/ifconfig eth0 down
Then run:
kppp
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