What ISP are you using? Do you see the icon in the lower right corner when connected? Did you test it in Windows control panel?
If you have hyperterminal installed in Windows we can try a few commands there.
If you unplug the line from the modem and turn OFF the computer for 5 minutes, it should do a hard reset in the meantime, until we get this figured out.
Keep in mind that this is a "WinModem" not a nice and real hardware modem, so that at the very worst $10 will solve the problem.