**** REMEMBER A MODEM CANNOT SHARE RESOURCES WITH A MOUSE! ****
The most common mistake made is trying to install a modem on a com port in use by another device using the same IRQ.
Before installing a modem, check the doc's that came with it to see what resources are required,(com port and IRQ) check your system using msd.exe at the dos prompt and make sure the resources are available.
It may be required to reconfigure some of your other hardware to allow proper installation.
Standard is for the Mouse to be on com1 with an IRQ of 4, Modem to be on com 2 with an IRQ of 3.
Some of the "Plug'n'Pray" types can detect and install themselves in Windows 95, it has also been known to happen that this will cause conflicts with other cards such as scanner or soundcards, to rectify this you will have to change the system properties. To do this check to see what ports are available and what IRQ's are available. Make notes of what device is using what. Change the operating properties of the modem to a place where no other card is residing.
If you have problems getting the modem to initilize, check the initilization string in the properties, refer to the doc's that came with it and modify the strings accordingly. Modems come in various data transfer speeds, when purchasing one get the fastest you can afford. Buy a brand name well known, that way you have support resources if future problems arise.
Speeds
Speeds can vary anywhere from 300 to 56600bps(bps=bits per second). Set the speed of the software you are using to the fastest rate available, this insures the maximum tranfer rate will be achieved.
Always try and use the lastest drivers for the platform of which you are using(eg:Win95, Win3.1)