I'm running Knoppix from CD. I use an external modem, and it works great. I got the modem for about $40 at an electronics store. It's the old external type with the 9-pin connector, not a usb modem.

I decided to go this route after struggling with "winmodems" in both Knoppix and, uh, other operating systems. The external ones just work better, IMO.

You can install the new external modem without removing the old one, if you want. Make sure the external serial port is enabled in the BIOS.