Did you plug in correctly?
1 from modem to PC, the other from modem to telephone.
Next, does the modem comes with any CD?
If yes, follow the installation guide in the CD to set up the
modem.
If there's no CD, do this:
Start > Control Panel > Network Connections.
Do you see any connections there?
If no, go back to Control Panel again. Click on Network
Connections. Follow the on-screen instructions.