Modern DSL modems by default allows you to establish a DSL link through them to provide internet connectivity. The actual connection is handled by software running on your computer. The downside is that the client side software consumes your precious CPU cycles. Also the internet connectivity of your internal network is now dependent on a particular computer being up all the time. The good news is that most (A)DSL modems can be configured to do much more to make your life easier and solve all the above problems. Modern DSL modems are like a mini-computer. They can act as a router, a gateway with NAT support, Firewall, DHCP server and also as a DSL modem. Once you connect a properly configured ADSL modem to your hub or switch, all your computers will be automatically and transparently connected to the internet with firewall protection.

It is preferable that you configure the DSL modems to establish the connection and also configure it to act as a router and gateway with NAT support. Most modern DSL modems will supports it. The DSL modems also can be configured to as a firewall. This provides a good first level protection of your internal network. You may need to configure the WAN / external ports it responds to; ideally none unless you have specific requirements to connect from outside.

Note: If you need to connect to your machines from the internet, you can configure your modem to forward the relevant port to a machine on your internal network.

Both the ADSL modems I use (from BSNL & Tata Indicom) can be configured as above. Here is how you can configure DataOne Broadband to act as firewall, gateway with NAT support and to automatically connect to internet.
Note: Here is the alternative setup for BSNL Dataone Broadband for Linux.
Tata Indicom was configured by default to act as router.

Configuring as above allows you to seamlessly use your modem on both Windows and Linux machines. You can additionally configure it to enable the built-in DHCP server which will then automatically serve IP addresses for your internal network. Consult your modems manual and your DSL connection provider for details.

With the above configuration in place, you have to just connect the modem to your hub / switch. Set all of your machines to use DHCP and set the internal modem IP (most likely 192.168.1.1; read the fine manual) as your gateway & DHCP server and you are good to go. Your machines will now be transparently connected to the internet. The modem does all the dirty work of converting your internal IP address to external IP address and route the packets appropriately in both directions.

Tip: You must change the default password for your modem. By default the modems may allow connection from the internet.