No dial tone: There are many possible causes of a No Dial Tone Error.
First, try testing the modem's ability to detect dial tone and to dial by using HyperTerminal with the direct to COM port connect method - see Using HyperTerminal. If you give your modem an AT&FX1 command, and then a dial command, dial-tone detection will be disabled; if you still do not get dial tone, the modem may not be installed correctly (especially if it is a PCI or soft-modem); or the cable from the modem to the phone-line jack may be bad or installed in the wrong connector on the modem - try another line cord, and make sure you are plugged in to the LINE - not phone - jack on the modem. Plug a regular phone into the phone jack on the modem and make sure it has dial tone. The modem may also be defective. Many new modems come with an electronic circuit instead of the traditional electro-mechanical relay used to take the modem off-hook. Some of these designs are proving less reliable; often, they will be 'stuck' in the off-hook position, so unplugging, the plugging in the phone cord may give dial-tone. If this is the case, the modem needs repair or replacement.
If the modem will blind dial (x1), but not detect dial-tone otherwise, the problem is likely to be in the proper selection of the Country in Windows->ControlPanel->Telephony or in improper installation of the modem or lack of support for your country in the driver you are using. Check to see if there are updated drivers for your modem.
If the modem dials properly with detection (x3) in HyperTerminal, but does not detect dial tone when using DUNs, the problem may be DUNs (check for upgrade or re-install) or the proper setup and modem selection for the DUNs connectoid. See this page.