gparyani: You're asking about the modem, right? Well, you'd need an app which would digitize the speech coming in on the modem, pass it to the audio card, and then turn it back into analog audio so you could use it with a headset.
Or, you could use the modem just to dial out, and then seize the line with a telephone and use the phone to talk on it. Some phone dialer apps are shown at http://www.phonedialerpro.com/ and then you'd need a phone line splitter (readily available at any Radio Shack) and a phone (probably one with a headset, or maybe a speakerphone?)