Damn Small Linux will Automatically DHCP when you boot.
If it fails that, then you will be unable to have Internet access.
What might be a better idea, given you are new to Linux is for you to use SuSE. It is effectively one of the only Idiot-Proof versions of Linux, with a very well developed Interface to make Windows users feel more at home.
GNU C++ 3.2 is installed as Standard on SuSE, along with a GTK-Based Editor.
For BASIC needs, then
PureBasic is probably the answer.
I would probably guess your modem isn't supported by the drivers in DSL. This might, but very doubtfully will change with more well known variations. You may have to route the modem either through a Router or a Windows-Based computer.
Realistically speaking, Linux is not a toy. It is a tool. So unless you are willing to put in the work to learn, and understand how it works. Then it should just be avoided.
If you are interested in a more User-Friendly Linux-Compatible environments, then the Apple MiniMac using MacOSX.3 is probably your best bet.
System: Windows XP CPU: AMD Athlon 2600+ RAM: 512MB Video: GeForce FX 5200 Audio: C-Media 9739 DirectX: Version 9.0c