Get a phone jack splitter at Radio Shack, Walmart, or just about anywhere. Plug that into the wall first. Plug the DSL modem into one of the jacks on the splitter. Plug the DSL filter into the other. Plug your phone into the DSL filter.
I'm not familiar with the DSL Filter Splitter you mentioned. Is it a filter with two ports, one for the phone and one for the modem?