Neotel Link: On the left side under the menu you'll see a phone. That is what I have. Phone and modem in one. It's a piece of crap. Can only connect it to my PC with USB.
It is possible to connect your Xbox through your PC, because I used to do this myself, running my Xbox via my laptop with an iBurst modem. You use the (admittedly horrible) built-in Windows Internet Connection Sharing function. You can try using this, but it's a bit of a pain to set up and it comes with its own problems. If you're using any sort of firewall software, this can seriously interfere with connecting to Xbox LIVE games online, since it'll block the service ports and incoming IP connection requests. There are also ways around this, but it's a bag of cocks.
Your much better option is to buy a router that can connect to a USB modem. It'll save you a lot of problems in the long run.
What postal code do I put in?