One is for a phone jack and the other for UTP (RJ45), if it works like any standard networking interface that fully supports TCP/IP (which it should), you should be able to specify a Gateway and DNS, simply share the Sentech connection on the computer with the modem and make sure they are both plugged into the same hub/switch.
Oh yes, you can't use these adapters to form a direct connection between two PS2's, not that you would want to, but it's nice to know.