Without knowing more details it's a little difficult to advise what to do. Basically you will need to plug an ADSL filter into your main phone socket, this will give 2 outlets, 1 for your phone and 1 for your modem.
You normally receive a CD from your ISP or with the modem. This contains the drivers to make it work. Install the drivers then connect the modem to your PC.
The modem is also connected to the ADSL side of the filter back at your main phone socket. Thats the basic way.
If you can tell us your O/S [Operating system] ISP [Service provider] and which browser you will be using then someone will be able to guide you through the set-up.