You'd be much happier with a hardware modem. Downloads are faster, your latency is better so you're actually able to play online games, and they actually work under Linux. That's my experience anyway. Sorry I can't help with your problem though.
Installing winmodems on linux are hit and miss, depending on what card you have. If you can be more specific, I'm sure someone can help you get moving in the right direction.
not all winmodems are supported yet however have you run the scanmodem tool over at www.linmodems.org and perhaps you can attach or paste the output file to tell us what winmodem you have