If the connection speed reduction only exhibits itself on external modems, have you checked the configuration that the external modem is using? It is possible (but unlikely) that you have an issue with the serial communication speed being set to a very low value.

Other than that -- are you connecting both modems to the exact same phone line? Lossy or "kinked" phone lines can sometimes lead to a reduction in the maximum communication speed of an analogue modem . . . but I doubt that, because you mentioned that the modem connects at the same speed, 9600 baud, when connected to "any of [your] computers".

Other than that, I would suggest attempting to tweak the configuration of the modem. In Windows XP, the settings are found in Control Panel->Network Connections, I believe, and the locations of the ppp configuration files can be found in the section "FILES" in pppd(5). The locations for Vista, Windows 7, and Apple OS X I would have no idea, but they should be located somewhere near the connection configuration.

I hope this helps to some degree.