I'm using the same plan at the moment to connect from my notebook, without any problem with my old modem and not the one provided by Vodafone.
It seems that you've got an XP rather than Vodafone drivers issue. XP SP1 is very old and many devices require at least SP2 in order to work.
Did you try the Support Page of Vodafone.gr? They have the latest version of the software and some other versions. They also have the phone numbers for technical support:
Vodafone.gr - ??????????
Another possible solution is to find the "generic" drivers of the modem (from the manufacturer) and try to see if they can install on XP SP1. Just use as APN: web.session and leave everything else blank.