I've been through that mess for years and when I need a reliable modem I install a "real" modem. One that is not a WinModem. The time and money lost is amazing as I've watched techs and consultants spend weeks futzing with balky modems. Your choice to futz with it or just go get a real modem.
If you feel the Sony parts should work then make it a warranty call to Sony.
Got a Sony VAIO computer that I and an associate are working on for a client. It's running Windows XP Home with Service Pack 2 and all available updates installed. He has broadband Internet, but had an internal 56k voice/data/fax modem installed for another piece of software he's running. It's called AnyTime Deluxe (the latest version, with all updates installed), and it's an organizer software that lets you pull up contacts from the address book, and then have the computer automatically dial their phone numbers for you.
When you first boot the computer, everything works fine. However, after some period of time, if you attempt to have the organizer program dial a contact, it will say that the COM port is in use and could not be opened. My associate downloaded and installed a piece of software called COM Port Toolkit, and it too says that there's an error opening the COM port. However, if you just go into HyperTerminal, you can send AT commands to the modem and receive responses just fine. Also, going into the modem properties in Device Manager and running a diagnostic returns a response from the modem just fine as well.
We've searched through the running processes to find anything that might be using the COM port, but nothing has grabbed our attention. Originally, we thought it was just buggy organizer software, but the fact that the COM Port Toolkit gives the error too suggests it might be more than that.