|I would highly recommend purchasing a SOHO (Small Office/Home Office) Router.|
Typically, ADSL connects through your telephone line. Your provider should send you a modem and filters. The filters are used on any line that will have a telephone connected.
You connect your modem with a telephone cable (RJ-11) to the input and then it has a network cable (RJ-45) coming out to your computer or router.
If you buy a router, it will come with a setup guide and/or a manual which will explain how to set it up.