Warning: Complete Linux newbie here!

I am trying to use Knoppix 3.6 live CD. I found the equivalent of the Internet Connection Wizard (KPPP), set it up, then tried to connect. The dialog box got stuck on Initializing Modem... When I go to Configure > Modem tab > Query Modem button. It recognizes the modem (I think it says Modem is Ready), then goes through whatever process it's doing, then shows a screen with labels like ATI1, ATI2, etc. and all the boxes are blank.

Then when I hit the Terminal button (on the same box as the Query Modem button), it says Modem is Ready.

Did I set something up incorrectly? Without any changes, the modem and internet connection works fine in Windows. If you need more info, I can provide it! Thanks in advance for any help and thanks for this great resource for us newbies!