Difficult to say without seeing your config or debugs. I checked on some old cases with Westel DSL modems and in all cases it was just a config problem, so they do work together.
The PIX basically needs to be set up as follows, so please check to make sure you've done this correctly:
http://www.cisco.com/univercd/cc/td/doc/product/iaabu/pix/pix_sw/v_62/config/pixclnt.htm#1031478
You could also try setting your username/password parameters directly into the Westel and see if the line comes up, this will at least verify that your line is OK and your username/password are valid.