If it's Apple's modem, I'd say the odds are very high that it would, but I have never looked so cannot say for sure myself. If it's some random modem you see on the shelf of an electronics retail store, then you'll need to read the box very carefully to see if they list Mac support at all, and then what versions. Maybe even taking a little time to research it online. My guess would be about 99% of those are going to be a no. They're likely cheap "winmodems" that use the computer's CPU instead of including a signal processing chip on the device itself. So make sure the box first says that it supports Mac OS X, you'll also want to look for the Universal Binary logo which says that it should support Intel based Macs, and then you'll want to verify for sure that it supports 10.6.
Also, minor thing, but it's MacBook Pro.