Dial up connection problem?

[Ephemerist]

The typical troubleshooting steps are to first try the modem in another PC, and to try a know working modem in that PC.

Another typical trick is to delete the modem driver via device manager, reboot, and let Win reinstall it.

You didn't mention if it's an internal or external model and that opens a whole 'nother can of stinky worms, but the same 'swap' and 'delete driver' troubleshooting techniques still hold.

BTW XP is 'going dark' on 4/18/14 and there will be no new security updates, so it's a risk to keep using it.