You need a physical phone line (old-fashion pair of copper wires) where to connect your modem. It won't work (or will work unreliably as fax) over VoiP adapters you might have (eg Ooma, Vonage, UVerse etc)
If you need it to receive faxes, there are plenty of online services where you can reroute your fax number and you will get your faxes over email.