Windows 98 is sometimes not very smart in finding the right driver even when you have the right CD and you ask Windows to look for it in the CD (especially when the right driver is stored in a subfolder among many folders and subfolders).
If Gateway has a CD for your modem, it must have the driver there.
Put your CD in. Go to Device Manager again, it should show a yellow exclamation mark for the modem (probably called a PCI Communication device or something like that). Right click the item and select Properties.
I haven't used 98 for some time so I can't remember the exact route to installing a driver for a device, but after selecting Properties, there should be a driver tab. Select that. Or just look for an option to "Upate driver", or "Install driver". At some stage, you will see an option to "Specify a location" for the driver (or similar). Select that, and there should be a Browse button. Click that and navigate to the CD drive (say D). Double click that, to see the folders on the CD. Then you just have to try the different folders and subfolders by double-clicking them one by one. Somewhere it should have a WIN98 folder (and probably subfolders within that). Just try them one by one.
From what I can remember, when you get to the right folder, a file should appear in the file name box. If it's the wrong subfolder, no file name will appear. When you get a file name appearing, click Open and/or OK to install it.
I once tried to install the driver for a US Robotics modem (Gateway uses them on some computers) from a CD on Windows 98 for my niece. Windows could not find the driver when I knew it was there. I had to do it manually but there were many folders on the CD and it was not easy to find the right one, but you just have to persevere.
If that still fails, you can always go to the Gateway site to download an .exe file for installing the modem driver. click here select your computer model, operating system and hardware, and find the right driver to download.