How is the modem suposed to be connected to your PC - by USB, or Ethernet?
If it's Ethernet - then you can simply fit an ethernet cable from the PC to the modem -
You can go wireless. Then you connect the router to the modem, and fit a wireless card, or USB adapter to the PC. The whole point about wireless is that you DON'T need a cable to the PC.
Personally I prefer cable connections for a fixed desktop PC.