The INF file
When you first installed your modem, Windows will probably have auto-detected it. Trouble is, unless you are lucky to have a very recent version, the modem INF files supplied with Win95 don't account for modems faster than 28000bps. Win98 does much better! If, as many people now do, you have a 33600 or 56000 modem, you need to get an updated INF file from your manufacturer. Most of them have web sites that you can download from, and most of the INF files are quite small, so downloading is pretty quick. Try to get the right one for your modem. Unfortunately some of the manufacturer's sites I visited haven't been updated for six months or more! Jughead's Information Station has a large list with links. Thanks also to Preston Ordrop who sent me this manufacturer's list, to which I have added a few more! Recently though I found a huge list at Ionet, which seems absolutely exhaustive.
Unbranded modems can usually work with the Rockwell INF files (if you can find them!), although I have had a lot of success with the Pace (95Driver.exe) and Garnet (56K-150.zip) inf files. STOP PRESS: As this update was posted to ClaraNet, Pace were in receivership. I have downloaded all the support files in case that also ceases to exist!
Recently I wrote my own version for K56 and V90 Rockwell chipset hardwaremodems, modeminf2.exe (Updated 11/2000), which, although not guaranteed to work with all modems, has received mostly favourable reports. (It will not work with PCI modems, and I don't have the time now to develop a version).