When I press FAX on my printer, it doesn't automatically open the Fax Software..

jjunge,

Thank you for visiting the Dell Community Forum.

For the fax function to work, you need to have the printer drivers and BVRP Phone Tools installed, the printer should be connected with the computer via a USB cable and your modem needs to be connected correctly to a functioning phone line. You can find information on configuring the BVRP software on page 30 of Owners Manual which is available at following web address:
http://docs.us.dell.com/docs/systems/a940/a940en1.pdf

If this has already been done, try uninstalling and then reinstalling both the printer software and the BVRP Phone Tools software and try again.