If you have a router then its even easier as the router would connect to the modem, so all you do is take a cat5 network cable and plug one end into your xbox and the other into the router. If the router is using DHCP then the xbox should get an ip addy and you should be able to connect straight to xbox live.
If its just the modem you have then you will have to enable internet sharing on your pc and connect the xbox that way.
Actually reading your post again, you dont give any sort of info about your modem and how its connected to your pc ie is it connected via a usb cable or a network cable from your pc to your modem.
Like i said easiest way is connecting it via a router or a switch, which is incidentally how i have mine connected up.
Or if you fancy setting up a wireless network then you can buy the official M$ wireless adaptor.