Ah the dreaded modem problem.
I have installed loads, some go in straight away and others not so easy.
The sure fire check is to go to control panel- modems choose your modem and query it. If you get a responce then you can bet it will work, if not reinstall. I have found that some prefer to be found with the add new hardware wizard after unstalling from system in control panel, others use a set up file provided by the maker. On the provided disk there are normally loads of different modem drivers, are you sure you are loading the correct one?
Good luck and keep perservering you will get there eventually.