Who/What are you attempting to connect to?
Have have you set up a PAYG account with an ISP?
To check that your modem is working correctly, try this.
Make a new connection. In the Select a Device box check it shows the modem you have. Click Next. Leave the Area Code box blank and in the Telephone Number box enter:
08451121212 click Next and then finish.
Now double click your new connection and in the User name put in anything you like: fredbloggs and in the password, again put anything you like: 123456, etc. Then click on Connect.