If you're talking ADSL, then you either need an ADSL Modem Router, or you'll have to add an Ethernet ADSL modem as well - the package modem with dearer broadbands is normally USB only.
http://www.ebuyer.com/customer/produ...duct_uid=57418
This looks the part - read the reviews though, some interesting points (CRAP MANUAL!)
Called a single port ADSL Modem/Router, it actully has a USB port which can be used at the same time as the Ethernet, and the Ethernet can be fed to a switch/hub to add more machines if you want.
Like most, the only way it is a firewall is by NAT, so unhandled incoming junk will be discarded as it has nowhere to go.