It should take no more than a few minutes to arrive from anywhere in the world. If not, check the modem power switch, power cable, wall switch, and that the power adapter is plugged into the wall and the modem. If you still get no lights then one of those things is broken. A cable runs from the back of the PC to the modem. Check it's firmly plugged in at both ends.
Some modems have both a phone and a line socket.
Make sure the modem is plugged into the Line socket. The cable usually goes into COM2. See if it's labelled as such. This will vary from machine to machine and are extremely difficult to track down. We recommend getting a repairer to look at the computer.