No problem
Go into Control Panel and check in the device manager whether the modem is shown correctly under network adapters. If it is there and it doesn't have a funny exclaimation mark etc, then you probably just need so sort out your username and password. To do that go to Control Panel and Network Connections and double click the icon which relates to the modem. You'll then be asked to put in your connection details and you should then be connected.
If it isn't showing up in Device Manager then you probably need to use that disk first. If it has a funny icon then double click it and it should tell you what the icon indicates.
Let us know what you find!
crabby