The router connects to your broadband modem with an RJ45 ethernet cable via the Wan port on the router to the ethernet port on the modem. Most routers will have 4 ethernet ports for plugging in computers to the network. If your modem is USB only, then you will not be able to use it with a router (none that I know of).
In the case of USB only, setup the USB modem on the PC with drivers and configure your internet. You will need to have an ethernet card in both the PC and AmigaOne, and connect them with a crossover cable. Setup Internet Connection Sharing from the PC and select the USB modem as the device which you access the internet with, and the ethernet is for accessing your lan. On the AmigaOne, you should just setup the network stack to obtain IP address auto from DHCP server. This should work ok, but requires that the PC stay on to access the net from A1. Hope that helps and makes sense.