If you connect the UTP of the modem to the UTP of the Router, as well as the PC, chances are the Router will not be a router, but a repeater/switch.
It's routing capabilities are usually setup between WAN and LAN. So between the ADSL connection, and the UTP connection(s). UTP to UTP is only using the LAN side, so no routing, no bridging, no firewalling...
If you really have a top of the line Router, there might be a possibility it can use a UTP port as being the WAN, thus creating a firewalling, but that's mainly me thinkin' creatively, freely, than based on knowledge... (I mean, it would be cool if it could do that wouldn't it? Hm, sounds like one would then get into the expensive professional line of managed switches and stuff...)
Basically, the answer is 'No', I think it won't work that way, no firewall in that setup.