Hi,
First make sure you connect the pic rx and tx trough 10k resitor to the modem's rx and tx pin, Then you need to tie the handhaking pins together on the modem side.
Start with pin 7 and 8 tied together and see if u get some data if not then tie pins 4 AND 6.Most modems required handshaking by tieing these pins the modem will be always ready to send and receive other wise it will sit and wait. Good luck hope this will help.