No, you wouldn't.
You are going to have the phone line plugged into some type of cable modem. They are primarily external modems. So then you will either have a USB cable running to your PC, or a network cable.
If you have more than one PC that needs 2 use the connection, you would have the cable modem plug into a router instead of the PC. Then a network cable from the router to the PC. That's assuming that the DSL modem has a Ethernet (network) connection. If it's USB you should use ICS (Internet Connection Sharing)