Modem: no, that is not necessary, that is: if you have broadband; a phone connection of course needs to make a new connection every time. Your modem makes a connection to your provider to which your computer connects via an automatic IP address on your network, the standard set-up from XP. Just start up your browser (first time IE gives you an absolutely unnecessary connection wizard, other browsers just do immediately what they should: browse) or whatever internet-needing program you want.
Should your programs not have access to the internet, check your modem (mostly on 10.1.1.1 or 192.168.1.1 in your browser address; handbook!) whether the set-up of the modem is OKand whether your modem is connected; you might have to phone the tech service of your provider for that.
Sound: go into Control Panel - System - Hardware - Device Manager and check your sound card. If it is not well/at all installed, get the driver either from the sound card CD or the internet and install that via "Install new hardware" in the Control Panel. If everything there is OK, check in which hole you have put the audio plug.