You need an ADSL router which is already connected to the net. If this router is wireless, then you need the wireless option for your Xbox, if your router has some available ethernet ports which are open, then you can just connect your Xbox straight to it with your ethernet cable. It will be the easiest if everything is setup with DHCP (router and Xbox), because then everything is done automatically. If not, then you have to go and configure the network settings for your own network on the Xbox.
If you still don't come right, RTFM.