Yes, a mediocre one at that.  It's a part of the rockwell audio/modem combo card that came with this cheap system, but I can't complain about the performance I guess.
I'm building a new system now and still require a modem, but not decided which yet.  Probably something cheap like oem CL modem blaster.  The USR hardware modem is I think $43 at newegg.com but none of the remarks make me sure it's worth the difference.