you connect your phone line to your Modem, and than connect the Ethernet cord from your modem, to your router (not your computer), and you get another Ethernet cord, and connect it to your computer with one on the few Ethernet slots there is in the router (thats if you want your computer with internet, or if you have a setup where you dont use wired connections, but only wireless stuff like your 360, and laptops, you can go without a second ethernet cord on a desktop, if what i said in the parenthesis confuses you, pay no attention to it.)
hope i helped!