Is 'virtual desktop' an application? I've never heard of it.
Most desktop virtualisation applications - such as VirtualBox or Virtual PC - don't let the virtual machine see most of the real hardware on the host, instead they emulate some fairly generic hardware. For example, no matter what real hardware you have if you set up a virtual machine in Virtual PC 2007 it will think it has a Creative Labs Sound Blaster 16 ISA sound card, a DEC 21140A 10/100 network card and a S3 Trio 32/64 PCI video card.
I think the latest version of Windows Virtual PC that runs on Windows 7 can 'pass through' real USB devices to the virtual machine but I'm pretty sure it's not possible to let the VM access non-USB things like modems.
I'm guessing the reason you want to do all this is because you're running Windows 7 and can't find a Win7 driver for the modem, is that right? If so, your only option might be to set your machine up to dual-boot Windows 7 and Windows XP. However that's quite complicated and you'd need two separate OS licences.
Nelviticus