Lubos Tilka's summary about this:
The matter is that 5110 HAS support for data/fax but does NOT have internal hardware modem (many sites tells it has). That's why it doesn't recognize AT commads naturaly. The solution is piece of software called Nokia Cellular Data Suite (for 51xx, 61xx, 71xx). It installs drivers emulating nokia modem via virtual COM port (this is probably the thing you had on your mind). NCDS works on Win95,98 and NT4.0 and should be available on Nokia site or with any purchased Nokia phone. After the software is installed (very easily), AT commands work perfectly. So my software runs at last. Not on Mac, but on Windows at least.