hello,
i know redhat does have automatic hardware detection and usually it sets it up correctly as soon as you plug it in (kudzo is the application BTW). I don't know what other distros also have this but i would guess that mandrake and suse also do. unfortunatly not quite as much hardware is supported under linux as windows, but it still supports a huge amount of devices (~85 % of the devices windows supports).
In any event, put the hardware in just like you would with anything. Then find out what drivers (aka modules) are needed. if the modem is a older modem and not a softmodem installation should be trivial, use which ever app to set up ppp and you should be on your way.
for the sound card just insert the modules (modprobe module_name) and open xmms or what ever and you should have sound. finding out what module to use may be the harder here. the sound blaster live takes a emu10k1, vortex has a different one, so does yamamha.