modems don't actually connect to a phone, just the phone line, unless you mean the old acoustic couplers
typically modems aren't able to convert a signal from an internet connection to a regular telephone for one, so you'd need extra hardware, so you'd end up with
broadband modem -> pc+modem+special interface to the phone / specialized modem -> phone
radio shack have good cheap wireless headsets, at least in comparison to a phone, which is very low quality audio.
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