I used to use Linux and I didn't have a modem, so I've got no idea how the modem support works in Linux. But I did find this: http://linmodems.org/
Yeah, Linux has really expanded its compatibility with "winmodems" over the last few years.
Back in 1999 I had a laptop that had a built-in Lucent winmodem, and I happened to get very lucky. At that time, the Lucent models were some of the few winmodems that they'd written Linux drivers for.
These days, of course, I mostly use wifi to connect to the Internet on my lappy.