A modem is working with a phone line. That's why you can't use the LAN cable. To use a LAN cable you will need a PCI Network card. Besides, you will need to install the drivers for the modem to be recognized in Windows. Usually, the Support CD can be used to install the required drivers. Once the drivers are installed, you need to create a connection and then plug the phone cable to the modem and dial the number given by your phone company. You might need to get in touch with them.