Don't give up man. I don't have mine in front of me so can't help at the moment, but I'm sure we can get you through this. I regularly connect via CF modem, as do many others, but it has been a while since I set it up. Don't feel bad either, the Connection Manager is anything but intuitive.
If you don't get anything soon, try this
http://www.microsoft.com/mobile/pock...=1&tid=5&qid=2