Since you didn't do as asked, and supply a dmesg, I'm going to have to use my crystal ball and make the following assumption: Your modem is a Winmodem, and is therefore not supported. I'm also going to assume your platform uses the i386 architecture. If either of those is wrong, it is because you did not supply requested information.
From
www.openbsd.org/i386.html:
Under Serial Ports:
Quote:
* 8250/16450-based ports (com)
* 16550-based ports (com)
* ST16650-based ports (com)
* XR16850-based ports (only in the pccom driver)
* AST-style 4-port serial boards (ast) (G)
* BOCA 8-port serial cards (boca) (*)
* Cyclades Cyclom-{4, 8, 16}Y serial boards (cy) (G)
* Cyclades-Z series multiport serial boards (cz) (G)
* IBM PC-RT 4-port serial boards (rtfps) (*)
* Addonics FlexPort 8S (addcom) (*)
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Under PC Cards (PCMCIA/CardBus):
Quote:
Serial ports, including:
* Most modems, digital cellular modems, and serial cards should work.
* AudioVOX GSM/GPRS modems
* Novatel Wireless Merlin U530 and U630 GSM/GPRS/UMTS modems
* Siemens Connect2AIR GSM/GPRS modems
* Sierra Wireless A550, A555 CDMA 1x, and A710, A750 GSM/GPRS, AC850 GSM/GPRS/UMTS modems
* Sony Ericsson GC75 GSM/GPRS modems
* Sony Ericsson GC89 GSM/GPRS/EDGE modems
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Under Universal Serial Bus (USB) Devices:
Under ISAPNP Cards:
Quote:
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Most serial port or modem cards (com)
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Under Unsupported Hardware: