I don't read you mentioning the 'usb-serial-KERNEL' extension (e.g. 'usb-serial-2.6.33.3-tinycore.tcz'). I'm pretty sure that you'll require it.
Generally speaking for troubleshooting it is IMHO typically better to work from the CLI (e.g. a 'xterm') and not a trough a "bloated" GUI (like 'NetworkManager'). To confirm that the hardware is properly recognized check the 'dmesg' output. There are several threads already around about USB modems, so please use the Search function of this forum to find out what other users have done.