Question: What port is the modem setup on. It should be on Com 3. If its not on Com 3 theres your problem.
To check open Control Panel then click on Phone and Modem then highlight the modem then click Properties then click the Tab Modem in Win XP the port is shown at the top just below the Tab.
If it says another Com Port uninstall then re install the modem making sure that you have the correct Modem Driver.