There are two main types of winmodems --

• The early ones just didn't have flash in the modem itself but had a DPS (digital signal processor), so they'd have to load it into the modem after each reboot. (Lucent LT was one of these, I think, but it's been 7 years since I've done dial-up support) These can be loaded from Linux, and can be very reliable, so long as you have a good driver for it.
• The modem uses the CPU for the datapump. (I want to say the Rockwall HSF was one) It's obvious as your CPU load goes up when the modem is in use.

It's much more likely that a modem that has its own DSP can still be used in linux. Take a look at modemsite or linmodems to try to identify your modem and find linux drivers.