The .exe setup is only needed for the ISP's own software - not needed at all to get you online. All you need is an access number, username, and password and you can get online from any computer in the world, no matter what OS, no matter what software you use, using any dial up modem with a working phone line.
Look up "linux dialup" on google and you will find a billion results. Your modem device is called ppp0 or ppp1, not eth0 or eth1...
Have fun!
