Can you confirm that the modem is not making the whistling noise? - this is with the 0845 number I posted, yes? Yet you can dial that number from your landline phone plugged into the same phone access point that the XP box's modem is plugged into?
If so, then there is a problem with the modem instalation within windows XP.
I need some of the other questions answering. Such as:
Have you tried uninstalling and reinstalling the modem?
What name is showing up for the modem drivers in 'phone and modem options'?