Nahed, Assuming the hardware connections are correct, then you must look at your code on the microcontroller. Earlier I mentioned a delay - your code sends a command to the modem say a ATDT01955 to dial a number, the modem doesn't respond immediately, so you must wait an amount of time before sending another command. This time may vary between say 100mS to many seconds. Most of the protocol analyser software can actually give you timing information so you can use this in your software.

Normally I would use a finite state machine to build the code for talking to the modem. This makes it easy to code the various command sequences.

Put simply the sequence is like this:

(a)send command
wait delay
check for response
if response failed, decrement retry counter and goto (a)
send next command ...... and so on