More then likely your modem desn't connect to your parallel port. It more then likely has a 25 pin serial port connector. If your computer only has 9 pin serial ports, which is more then likely the case, you need to get a 25 to 9 pin adapter. There were a few modems made that used the parallel port, but the parallel port connector was used along with a 9 pin serial port connection.
I could be wrong, but I have never heard of a parallel port only modem.