First Connect the Modem to PC using serial cable supplied with modem (9 /25 Pin D type)
Using Hyperterminal check AT command response.
You will not get OK response in first go as PC baud rate may not be same as that of MODEM. So try AT command by changing different BAUD rate setting in hyperterminal. At one baud rate you will get OK response.
Now Try sending AT + CR characters through MCU to MODEM at baud rate at which you get OK response in PC case.
One question -how are you ensuring that your are able to generate AT command at desired baud rate from MCU? There may be problems with variuus reg & flag settings??
So you please check whether youe MCU is sending AT & other char properly by conecting MCU to PC serial port and checking received chara through hyperterm