You have to do it in two places, the first is as lonman says in teh conrol pannel go to the phone and modem properties icon and d/c... click onto props at the bootem of the pannel after selecting your modem and set the volume to off.
under the properties of your connection (right click on the connection under show all connections on the start menu and coose properties) there is another configure option for the modem in there... choose it and set the volume down to zero and enjoy hours of noise fee modem use
(n.b. the names may not be 100 % as i am on a 2k comp at work and cant access my own pc with xp but the basics are the same even if the names are slightly different)
EP, glad to see you come back and tidy up...did want to ask a one day favor, I want to enhance my resume , was hoping you could make me administrator for a day, if so, take me right off since I won't be here to do anything, and don't know the slightest about the board, but it would be nice putting "served administrator osnn", if can do, THANKS