In typical desktop and laptop systems, a number of components depend on Microsoft Windows driver libraries. The most well known of these is the winmodem. Trouble with Microsoft-dependent devices is not limited to Linux; there are a wide range of Microsoft-dependent devices that do not work on Windows XP/2003. While most of these devices are modems and older printers, don't be surprised if you find other Microsoft-dependent hardware. Many of the initial "hacks" that support this hardware are based on the Wine project, which allows Linux to use Microsoft driver libraries.
As strange as it sounds, about half of U.S. Internet connections are still made via telephone modem. While this seems almost "third world" in contrast to broadband connections in other industrial nations, it means that telephone modems are still a common fact of life in the U.S., and a key skill set for the well-rounded Linux geek.
In principle, it's best to find and install hardware that does not depend on Microsoft driver libraries. In practice, that's not feasible, as many computers come preloaded with winmodems.
In many cases, Linux detects winmodems straight out of the box. To see if that applies to your system, run the lspci command. Linux has detected winmodems on all three of my computers. The lspci output is straightforward; I've isolated the key lines for the detected internal modems:
01:0e.0 Communication controller: Conexant HSF 56k Data/Fax ...