A modem is a device that helps you to connect to the Internet by translating the digital data of your computer into an analog signal that can be transmitted over telephone or cable lines.
There are two types of modems: cable modems and DSL modems. Cable modems have a coaxial (or "coax") connection, which connects to a cable port on the wall. DSL modems have a telephone connector, which connects to a telephone socket on the wall. In a typical setup, data will travel from your computer to a router, through a modem, and out to the Internet over a phone or cable line.