For All Windows:

Modem Disturbed By Message Waiting Indicator

Start -> Settings -> Control Panel -> Modems -> Properties -> Connections
>Uncheck wait for dialtone before dialing ->Advanced

In Exra Settings Box type

atx0

Click  Apply ->  OK >Close

If this does not work then you must turn message waiting indicator off
OR
listen to your unheard messages before you dial up to Internet.