First help us out by doing "lspci -v" at a terminal and copying and pasting the output.
I'm assuming you have an internal modem. If it is a winmodem i.e. a modem that depends on the windows
OS to work you may have problems getting it to function. Some winmodems can be made to work in linux and some can't.

For the sound problem you may want to try the simple things first.
Check your kmenu>System>Control Center>sound & mulitmedia>sound system and check that
enable sound system is checked. ( you can also test the sound from that panel after you make changes )
If that doesn't get you any output you can type "alsamixer" at a terminal window and see if your sound levels
are muted. There are lots of possibilities with sound search for "alsa" here or through google.

Wine: wine is a work in progress. It doesn't run all or even many windows programs.
It definately doesn't run games. If you want to run games made for windows you'll need winex
See: http://www.transgaming.com/news.php?newsid=119 If you want to run other graphic or business apps
you'll need crossover office: http://www.codeweavers.com/site/products/

They both our non-free i.e they cost $$

Good luck.