Okay, so you're interested in Linux? (which, btw, I perfer to call GNU/Linux..)
My first point: Linux is not for everyone. Only attempt to dive into Linux if you are serious about computing, not because it's trendy. You will grok at a command line. If this scares you, too bad. Don't whine for a GUI, either, it's best you know how to do everything without X.
My second point: Never give up. Just because you can't get your modem to work or you accidentally corrupted your MBR doesn't mean Linux is not worth it. If you need to do a few reinstallations before you get the hang of it, that's fine. I only had to reinstall once or twice. My friend Jeff did it about ten dozen.
Now, so you've got that. Now... Chances are your modem sucks. Be prepared to get a new one if it doesn't work. Why? Most people have cheap winmodems, and those are no good. When buying a modem, look for an ISA one with jumpers (yes, it is VERY important that it have jumpers), or an external serial port one.
Now that I've said all that, pick up a generic book on UNIX, download or buy Debian, SuSE, Red Hat, etc... Install and do tons of experimentation. Prepare for a world like no other.
If you run into trouble, just go to places like #linux, linux.org, linux.com, linuxnewbie.org, pretty much anything remotely Linux. GNU/Linux users are very friendly to newbies with problems. One general tip: if you have more than 64MB of RAM, you'll want to put append="mem=XXXm" in /etc/lilo.conf, where XXX = number of megs of RAM.
Once you get to know the "trendy" unix, you may also want to look into other unices, like *BSD, Solaris, or the countless others.