Right lad, firstly, what the fuck is that ? Manufactirer and model number will do, or a better clearer pic.

To wire up the adsl modem, take the cable that run's from your phone line, and plug it into your router / modem thing you have just bought. Ensure that all the lights are on, then plug your ethernet cable into a spare port on the router / modem thing. into your network card on your pc. Then click on start -> Run and type in \\192.168.1.1 and it should open the router (check the manual for further instructions) You will need to setup the network name atc, encryption, etc and then do the same you your laptop / PSP etc that you want to connect it to.

Let this be a lesson to you.