As far as I am aware, Monowall does not support any kind of modem. It only supports ethernet connections. You will either need some kind of external ethernet DSL modem possibly a PPPoE to PPPoA converter if you want to have the external IP address in Monowall. Or alternatively the smoothwall project
http://www.smoothwall.org does I believe support USB ADSL modems, although has a different feature set to Monowall.