Your modem is what is called a "software" modem. Some of its functionality (such as error correction, for example) is implemented in the DRIVERS as opposed in the actual hardware of the modem. This is called HostSignal Processing (HSP), where the host (your pc) does most of the work needed to transmit data.
This puts additional load on your machine's CPU, and I guarantee it will be noticeable on your Pentium. It was somewhat noticeable on an older laptop I had.
In any case, MMX was used to speed up the processing implemented in the drivers. Your PC doesn't have MMX, so you probably can't use them. Try "Generic modems" or "Standard modems" drivers, maybe that will work. Now you see why it said "Pentium 2 or better" on the box