Thanks for all the responses. I 've finally decided to transfer data to the PC for this case.

I'm facing new problem now. I can easily dial the number from hyperterminal using external modem. But, my controller program can't do so. I have used all the characters to dial the phone:
i.e, ATDT(phone number);(CR)
What may be the reason?

I have used female DB9 connector at the controller side and serial port of MODEM is also female DB9. So I'm using crossed-link wire (terminated with male connectors)to connect controller with the modem.