The cd is probably just for installing in Windows. Is your modem an adsl modem connected to a network card in your computer and is it already configured for your ISP? If so, you need to run the internet connection wizard. I'm not running puppy at the moment, so I can't tell you specifically. Look in the menu - there is an item for the wizard for internet connection or network connection, (or something like that). You need to press 'eth0' and 'auto dhcp' and it should connect to your modem. (There is some information given on the wizard to guide you.)
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