Find the source that's calling the message to appear or reinstall the software that originally put it there.
To get rid of the message, start with the Registry file and search it (using regedit). Once found, delete the key calling this file. Also check the INI files to see if it's being called from one of those.
To reinstall the software that put it there originally, just put the disk in and run the setup.exe file. That file probably has something to do with the modem......
If it's a Microsoft file, then put the Windows 98 install disk into the optical drive and use "restore a file" found by running command "msconfig" from the "run" line in the "Start Menu", then select "expand file" and follow the command prompts to restore the file to it's original destination.