I have not used a CF modem yet, but I think I can maybe point you in a couple directions to find a solution. There is a site I use quite often when I am stumped and looking for device drivers.
http://www.driversguide.com It has a very comprehensive database of drivers. You name it and they are there. Once you locate the drivers there is a really cool application that came on your Dell software disk that puts a connection wizard on your desktop. With your Axim connected it will walk you through a step by step process of configuring any modems that are on your Axim.
I hope this helps let me know how it turns out for you.