You'll have to go to 'Add/Remove Programs' and make sure ICS is installed. It will/should be under the Windows Components. It's been awhile since I've used 98SE, so verbatim may be off.
Anyway, once you have it installed, the wizard should walk you through making a floppy disk so you can setup the PC w/o the modem.
EDIT -
This might help you along the way.
EDIT2 -
Maybe better