"Wrong, You don't need to send AT severnal times once is enough"

No you will not get OK response in once AT press.

"Do you mean kunal has to attach his modem to PC to set the baud rate to 9600 and then detach and put it onto micro. and this has to be done every time he wants to use his modem with micro. "

It has to be done only once and afterward he can keep using it with MCU as modem baud rate will be set to 9600.