Long story short, I have the WiFi232 by Paul Rickards. Since it has 25 pins, I had to order a 25 to 9 pin RS-232 serial adapter for my computer.
So I hooked up and powered on the WiFi232 and turned on my computer (Atari Mega STE with Taz software). Set the modem to 1200 baud as instructed, and typed ATI. No characters appeared, so I put ECHO on (not sure if this was the right thing to do). The characters now appear when I type (ATI), but when I press return, it just goes back to the A and nothing ever happens. What else do I need to change in the settings? Sorry, it's been 20 years.