I will explain the way in which i have done it.
Step 1: Go to terminal.
Step 2: Type the command : sudo wvdialconf wvdial.conf
Step 3: gedit wvdial.conf
Step 4: Update that file with the Phone number to dial, User name and password to connect your ISP.
Step 5: Save it.
Step 6: Now you will be in the terminal. Enter the command : wvdial
It will initialize the modem and you will be connected.