Huh, you need to do a little more than that. Your modem doesn't know what number to dial on its own.
1) Go System Preferences: Network
2) Either click on the entry on the list that says 'Internal modem' then on the configure button OR select 'internal modem' from the 'Show' menu.
This gives you the main page where you can enter your user name, the phone number to dial and your password. Those are the essential things for connecting to the internet with a modem.
There are more options to be found if you click the button on this page labeled "PPP Options
" and yet more if you click the "Modem" tab. Some of these options are self explanatory, others you will likely not understand but that's not a problem, just leave them alone.
One option you might want to use: on the "Modem" panel there's a check box marked "Show status in menu bar." If you click it you can get a little icon next to your clock that shows if you're online, with a menu that lets you connect, disconnect, or take you back to the options.