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.