Ideally I'd like to find a library for Python.
All I need is the caller number, I do not need to answer the call.
i don't know for this specific model, but GSM modem are generally handled as a communication port. they are mapped as a communication port (COMXX under windows, don't know for linux). 
the documentation of the modem will give you a set of AT command which will allow you to configure the modem so that it notifies incoming calls to the port. just open the port, send the configuration commands and listen for incoming events. (you should also be able to receive SMS this way).
Is it possible to detect an incoming call to a GSM modem (HUAWEI E160) plugged into the USB port?