It just works.

Here's how I use a standard dial-up modem on Windows XP:

Click Start.
Click Control Panel.
Click System.
In the System Properties window, click on the Hardware tab.
Click Device Manager.
In the Device Manager window, right-click on the computer's icon and click Scan for hardware changes.
Wait for the system to detect — sorry, to "auto-detect" the modem.
Close the Device Manager window.
Close the System Properties window.
Actually bloody use the bloody modem.

We have a variety of different dial-up modems in this office, and they all require that same procedure, so no, it's not just me.

I quite like XP. No, really. But this is not one of its best features.