The only reason I can see for needing the Arduino to interact with the modem is so that the Arduino can boot the PC in response to an SMS command. This means the Arduino and modem need to be running all the time anyway; wouldn't it be a lot easier to put all your internet related and SMS handling code on the PC and leave that running in some sort of low-power mode instead? It would avoid needing multiple modems or trying to share the modem between devices.