By any chance is it a usb modem?
If it is, you will find most usb modems will not work on Macs.
What type of modem are you using i.e make and model, usb or ethernet?
Information like this will help other users to help you more effectively.
How about buying a wireless router and connect your Macbook wirelessly!
Prices have dropped recently and good routers can be picked up for around £47 and are very easy to set up. PC World usually has great offers on over the Bank Holiday.
My Macbook is connected wirelessly, but i can connect to my modem via an ethernet cable with no problems.
Regards Simon