What type of modem do you have ? If its a USB model then you should probably get a router with a built in modem since there aren't many that support USB modems. On the other hand, an ethernet modem will normally connect straight to a normal router, and hence to internal modem is required.
Apart from the router, you'll need to make sure both machines have a Network Card, and then connect them both to the router using a straight through ethernet cable, as opposed to a crossover ethernet cable.
Routers with modems click here
Routers without modems click here
Cables click here (remember non-crossover)
You also need to make sure the router has two ethernet ports, though normally they start at 4.