Someone else will prob give a more detailed answer.
using the pci modem (call it pc a) for net access will mean that if you wish to access with the other pc (pc b), pc a will have to be switched on at the same time, as pc b needs to access the modem in that pc. If, for some reason, pc a is disabled, then pc b is denied to access through this connection.
With the router, either pc will be able to connect regardless of wether the other pc is on or not. Also, many routers (I use the lynksys BEFSR41, easy install, worked immediately) have a built in firewall (still use a software version, like zonealarm though, belt and braces approach). Very easy to add more pcs, printers, etc to the network at a later date.
I hope some of this makes sense.