While modems are designed to be connected to telephone lines which have dial tones and voltages on the line, it's claimed that most modems will communicate when just connected to each other back-to-back via a telephone cord. To get this working, type ATD for one modem to dial and ATA for the other modem to answer (or set it for auto answer). Since there will be no dialtone, you may need to set ATX (or whatever) to blind dial (force it to dial without a dialtone). If ATD doesn't work because of no phone number, you could try ATD0 to send a 0.
If the above doesn't work, you could make a simple power supply to emulate a telephone line. See Connecting two computers using their modems, without a telephone line.
A line without a source of voltage is sometimes called a "dry line" and some modems exist which are designed to work on such lines (or which can be configured to work on such lines). If you connect one of these special modems to a line with voltage on it, it may destroy the modem.
A leased line is one which is usually leased from the telephone company. The end points of the line are under the control of the user who may connect a modem at each end of the line. Leased lines may or may not have a voltage supply on them. See the mini-howto: Leased-Line which covers leased lines where there is neither voltage nor dialtone on the line. One type of leased line used two pairs of wires (one for each direction) using V.29 modulation at 9600 baud. Some brands of leased line modems are incompatible with other brands.