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Linksys makes the best routers for this. You can decide to use a wired router if you don't mind wiring through your walls, if your computers are right next to each other, or if you don't mind looking at wires on the floor. You just connect the network cables to the router, and connect the DSL modem into the WAN port in the router, enter your connection information in the router using your browser and it should work.
Or you can use a Wireless router along with wireless network equipment to set up a wireless network, so that you can move your computers around without having to worry about plugging them in. All your computers will need wireless hardware.
The other way to do this is to use Microsoft Internet Connection sharing. This requires that your computer has 2 Ethernet Cards (aka NICs), one connected to the DSL modem and another to your network. You can then enable ICS in the way that pertains to your OS.
Setting Up ICS on Windows XP
Setting Up ICS on Win98/Me
Setting Up ICS on Win2k