The problem with that method is that there are two kinds of Dreamcast modems, and it only works for one of the two. It's all because the one type of modem is incapable of doing what is called a "blind dial", in that it attempts to dial despite not detecting a dial tone.
Since you will not get a dial tone if you connect your Dreamcast to your PC's modem, if you have one of the "newer" Dreamcast modems, this method won't work. There is no way to tell which type of modem you have, aside from either testing this method yourself, or ripping the modem apart and examining the insides.