The problem today is that most pci modems wil ONLY work in windows. Get the manufacturer model and/or chipset info for your modem and check out this list of modems and see if yours will work.
http://www.idir.net/~gromitkc/winmodem.html
If you have a hardware pci modem you'll have to do some reading on how to set it up, as most use a non-standard serial port /dev/ttyS4 (COM5).

If you have a winmodem with a Lucent/Agere chipset (probably the most popular chipset), a knoppix mini-version from Brazil called Kurumin v. 1.1 will be released soon which has support for these modems built in. Look in " Customizing KNOPPIX " for the Kurumin thread. Also a new version of knoppix is due out soon , if you have a lucent chipset modem, you might want to see if the new version of knoppix has support built in.

HTH

rock