HI This is how we can connect modem on the backtrack4r2

Step1) type in terminal 
 sudo start -network
sudeo stop -network //to stop the net connection

Step 2)
Now goto
start->internet->Wicd network manager
Connect from the available options.
To configure click on advanced tab of your connection.
type your wep/wap key


step3) Update the backtrack
sudo atp -get update

Second method most simple one
    COntrol panel -------------------->Network and internet------->
INternet and connection

Control Panel\Network and Internet\Network and Sharing Center
Then

Click on change adapter settings

click on your modem connection icon ->Sharing tab->click on 

check Allow other network users to connnect through this computer network connection.
1.  on combobox of Home network connection
select from list  on vmware network adapter vmnet8

It may be anything vmnet1 vmnet2

2.  click on check Allow other users to connect and control this network connection

click on ok you r all done