Smart ass remarks and thinking theres something about disabling the mobo speaker or somthin aside, yes and it's quite easy.
Open up the Control Panel and find the Modem properties, depending on your Windows version it may have different names. Open it up and under the modems preferences you should find an option to disable the modems sound, or something to that effect. I'm on my iBook at the minute so I have no way of telling you exactly where and how, but just poke around in the properties and you will find it no problem.