An internal modem is an "expansion card" that plugs into your desktop PC. To install or remove an internal modem, you (or a technician) must remove the cover from your computer's case. Your vendor may have already installed an internal modem in your computer. If you have an internal modem, you should find two standard RJ-11 telephone connectors in the back of your computer. If they have identifying labels, one will probably say "phone" (or have a picture of a telephone), and the other will say "wall," "line," or "telco" (or have a picture of a house or a telephone pole).
If you have a laptop PC, it may contain a different kind of internal modem (a PCMCIA modem). See your modem documentation for instructions on installing the modem in your computer and connecting it to the telephone line.