Be sure to drop the manufacturer of the modem a note asking them to support Linux. they provide drivers for Windows, Microsoft doesn't have to do a thing. Linux hackers have been writing their own drivers for these things with remarkable success, but without the proper hardware documentation it'll always be a reverse-engineered hack.
For Linux to get big we need hardware vendors to remember that we exist! Every time some piece of hardware is poorly supported you should let the manufacturer and the distribution maintainers know about it. If nobody tells them they may never know that the thing doesn't work.
Generally speaking ethernet is the best supported so using a router and ethernet is the optimal choice. Wireless and USB modems are improving on linux but they still got a way to go compared to windows imo.
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