hey ketan !!
i have a nokia 3125 too and i was having the same problem .. ditto !!!
i called up the customer care but they had no clue .... but somehow at a webworld a cust. representative knew the solution.... he added some special comand in extra modem intialization command... thats it and it started working. i don have the command right now but i will post that in the night ....
oops i noticed later that this post is quite oldd. u must have got the soulution .. please tell me also how it was solved thanks.....