When connecting similar devices (computer->computer, hub->hub w/o using uplink ports, etc), use a crossover cable.
In your case, you'll need a straight-through cable from cable modem to linux box and crossover cables from the linux box to the other systems. However, you may find it easier to use 2 NICs in the linux box and run it out to a hub (using a straight-through to a normal port or a crossover to an uplink port) or even easier to just pick up a ~$100 cable/dsl router.
~Ladi