There are three main frequencies used by UMTS (3G) networks, they are 850MHz, 1900MHz, 2100Mhz.
For your modem to work in different countries it must support the frequency used by the mobile operator(s) of that country.
An unlocked modem does not mean it will work with all frequencies! The frequency supported is dependant on your modem's hardware.
As a rough guide:
Africa - 2100 MHz
Asia - 2100 MHz
Europe - 2100 MHz
Oceania - 900 MHz / 2100 MHz
America - 850 MHz / 1900 MHz / 2100 MHz