The laptop may not have a modem installed despite having what appears to
be a socket.  I came across this exact problem last week when dealing with
a Korean colleague who was visiting the UK for a few weeks.  Her laptop,
bought in S.Korea, has no modem primarily because nearly everyone in Korea
connects to the net using ADSL and therefore have little use for a dial-up
modem.

You can check whether you have a modem installed or not by checking for
any Modem entry in the Device Manager or perhaps an unidentified device
with a yellow exclamation mark.  If no modem is present then you will
either have to buy and use a PCMIA modem (assuming the laptop has a PCMIA
slot) or perhaps an external USB modem.