I did that a few days ago but I get this message:
Could not autodetect modem device
Check that the device is not busy and that is correctly attached to the computer.
When you pull up the Network dialog box is the modem connection active?
Edit: You can specify the modem port yourself. On the same page where the Autodetect option was there is a another drop down box labeled Modem port. I guess the trick would be to try find which port your modem is connected to. I wish that I had known you had already tried some of the things that I suggested.