Hi,
I am worked on the GPRS/GSm modem, first check the RX & TX pins of the modem correctly connected to the micro controllers RX & TX pins are not,check that hardware connections.
when you are sending that AT command the modem definitely reply as "OK" string,you should wait for the reply of the every command after the expected reply you are eligible to send another command.
check the USART functionality,if you have any doubt check the data at the RX & TX pins with the oscilloscope. at the time you observe the valid data coming or any garbage.
Thanks & Regards,
Chandu.Kurapati.