There are two ways that I can think of:
1. How much was it? It you bought it for less than $40/$50, or it was included,it is a software modem. Period.
2. Try sending the AT style commands directly to the COM port (for instance with the Windows included program Hyperterminal. Only a hardware modem will respond to those on the com port, as far as I know. Just sending "AT" to the modem with a carriage return should give you a flurry of info for a hardware modem.
2b. If you have Linux, FreeBSD, if it works without the softmodem drivers, that is also a clear indication.
Chances are that if you don't know, it's a softmodem.
Link to AT commands for modems:
http://www.computerhope.com/atcom.htm