If the connection is made using Ethernet cable to your PC network interface card (NIC), Windows may not notify you of anything.
You don't say if you got this from a provider and you have a working DSL connection in your house, but that's essential. The modem would come preset to automatically connect PCs you plug into it (or you would have to do configure it).
Technically - The modem will automatically assign IP addresses to PCs (it is a DHCP server). The PC's NIC must be set to Obtain address automatically (to use DHCP) and the modem must be connected an powered on before your PC boots and initializes the NIC. For example, if you boot the PC and later connected the modem, the PC NIC will not have gotten the correct settings from the modem at bootup.
That's all you need. Some modems and devices may include some software to configure things on your PC for you, but it can be done manually when you install it. Usually NICs are set to use DHCP by default, so if your modem is connected and on everything should work when you boot up.
Hope this helps.
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