ISPs that provide cable or DSL typically provide modems to you. The modems are almost always external, so it will have to sit on top of the computer or something. Your computer will need a network interface card (NIC) installed as well, but I’ll discuss this in a bit.
The modem you are provided is usually fine for your purposes. You may want to replace it with a modem with additional features, such as connection-sharing. But, don’t expect this to necessaily increase your throughput. ISPs, many times, cap the download speeds on their end, meaning the modem never really operates at its peak speed. Before switching to your own choice of modem, check with your ISP to make sure it will work.
There are some potential problems with switching modems. For one, there are many standards of both cable and DSL. Your ISP will, of course, provide you with a modem supporting their standard of DSL or cable. In addition, some ISPs won’t even offer support if you don’t use their modem. What’s more, you might have a hard time finding a DSL or cable moden in the computer store anyway. They’re not incredibly commonplace because everyone expects their ISP to provide it.
Quick note: most ISPs use Ethernet modems, and this is good. But, there are PCI and USB modems out there. Try not to be forced into using one. These modems have been known for driver problems. Ethernet, one the other hand, is a widely used standard. Besides, you can use Ethernet for your network and use multiple PCs over your broadband connection.

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