Afaik there are no mobo's with built-in adsl modems, however you can get pci adsl modems, and pci right-andle connectors (quite often included with that style of board). The other alternative is an ethernet (or usb) modem which could fit in the 5.25" bay - that's what I'm looking at for a smoothwall box atm, as my ethernet adsl modem is a very nice snug fit in a 5.25" bay, and I can externally connect up a cd drive when installing (and close the case afterwards).
Robin