The BlackBerry Desktop Manager application should automatically install the modem drivers you need, but you'll want to make sure. To do so, go to your computer's Control Panel.
From there, select "Phone and Modem Options."
Under the "Modems" tab, you should see a new modem listed. It will be called "Standard Modem" and will be on a port such as COM7 or COM11. (You'll also see any other modems you may have on your computer.)
Note: These directions are specific to Windows Vista, so you may see slightly different names used if you're on a Windows 2000 or XP machine.