Look for shareware called Modem Doctor. You can also use NT diagnostic to look for all your free resources. As mentioned you should try control panel, modem and see if NT detects the modem.
Better still is to use the drivers that came with the modem. If you don't have these you can download at places like drivers.com and also the manufacturer web site - which may have the latest upgrades to the drivers.
There is no particular difference in setting up any type of modem. In NT - since it's not plug and play it is harder as you need the drivers and you need to know more about the modem then in Windows 98.
Sometimes generic drivers like Hayes compatible drivers may work.
Putting the modem in a box with windows 98 will give you a lot of answers but involves more work - use as last resort.
Good luck.