This is often a faulty or incorrectly setup modem and telephone line combination.
Is the modem functioning? Does it have power connected?
Has it been attached properly? Some modems have the facility to connect a telephone handset to them as well as the telephone line... Are these connected to the correct sockets?
Do you have a Dial Tone?
If you have no Dial Tone... How many appliances do you have connected to the one telephone line? These "appliances" could be a Phone, Fax, Answering machine or such like items.
With an External Modem connection of any more than two other appliances to the phone line could result in a loss of dial tone. If this happens the modem will not connect correctly.
With an Internal Modem the number of "other appliances" tolerated is often less.