I assume you are using the Live CD of Gutsy and have not installed it
and are on a dialup line (otherwise, you wouldn't be using a serial
port modem) - is that right, or am I mistaken?

If so, then your setup should be the same as for Dapper. I use a
setup with Fiesty that I used with Dapper and plan to continue using
with Gutsy when I get the release via snailmail.

I use a wvdial.conf setup with a USR 5686E modem. If you have a
Dapper Live CD handy, try that and see if your modem still works - it
may be that your modem has stb'd. I previously had a USR 5686D that
did so, and then got the new one.