RJ11 is the plug that goes into the ADSL 'modem'. It has 4 conductors. An RJ45 is the same shape, but has 8 conductors. If you have a 'filter' in the phone socket, it will have an outlet for a RJ11 plug, so you need a RJ11 to RJ11 lead.
If there is no 'filter', you need a 431A (standard BT plug) to RJ11 lead.