Ken,

Take a look at the Serout2 command in the manual, around page 144. All you need is a connector for your modem and a 1K ohm resistor! The modem will accept 'Hayes' AT commands. After you set up your oscillator and other defines per the manual just enter SEROUT2 PORTA.1,84,["ATDT 555-5555"]
and the modem will go off hook, wait for dialtone, and dial the digits. You can try it out first using Hyperterminal or another terminal program. The AT stands for 'Attention', and if you just type AT your modem should answer OK. You can find a lot of pages with all of the AT commands on the internet, but not all modems will implement all commands.
If you want to get a little fancier, use a MAX 232CPE chip with your PIC, and then you can send and receive, there are a lot of examples around. I use a LabX board from MeLabs for my development work, and it is hooked up to a modem, I use it all of the time to turn some lights on when I work late so I don't come home to a dark house.

Jerry.