If your modem, I'm assuming you mean DSL or cable, doesn't have an Ethernet jack and only has a USB jack it's not compatible with your router. If you modem does have an Ethernet jack but didn't come with a networking cable you will have to go out and buy another one if you want to connect your PC to one of the LAN jacks on the router.
The hookup would be:
Modem <=cable=> WAN(Router)LAN,<=cable=>NIC(PC)
or
Modem <=cable=> WAN(Router) and setup the wireless.