Have you opened your dial up networking connection.
RIGHT CLICK and then PROPERTIES.
Under CONNECT USING is it giving you the option of Nokia 7110 IRDA?
Is the phone actually dialing the number before you get that error message?
Is the dial up number correct for the service you want?
Remember to remove any dialling prefixes you might use at home or at the office on a standard land line. You can do this via Telephony in the CONTROL PANEL
Hope this helps.
Sorry if any of the above sound obvious, but its difficult to tell what you have set up on your computer.
FWyg