It won't work with Lion or Mountain Lion because:
"it is a controllerless or software modem based on the Motorola SM56 design. The advantages of a software modem are low cost, low power consumption, and compact design. The disadvantage is that modem processing is offloaded to a specialized driver that runs on the host computer."
and:
"The Apple USB Modem is no longer supported on newer Macs running Mac OS X Lion because the modem driver is a 32-bit kernel extension and Lion boots with a 64-bit kernel by default. MacBooks and older 32-bit CPUs (prior to the Core 2 Duo) still run a 32-bit
kernel."
Sourced from: http://www.sustworks.com/pa_guide/compatibleModems.html
A compatible USB modem: http://www.usr.com/products/modem/modem-product.asp?sku=USR5637