Some UPS's also have ethernet shielding... mine does. You should be able to protect everything downstream from the modem for a typical home configuration -- just plug the first ethernet cable you have (at home, usually the one coming out of the Cable or DSL modem) into the UPS's IN and then plug the next cable (usually to your router) in the OUT.
That's probably the best -- if you protect further downstream, like putting the router outside the UPS's protection, first the router could get fried but then also it might not pass a spike through to the next device in the process of getting fried, anyways.