No, one cannot do it using a modem. To share files, between the 2 computers, you need to get yourself a crossover ethernet cables. You can get thenm in the market for very cheap rates, and even you can make it yourself at home, but you have to get the RJ-45 connectors and ethernet cables, along with the clippers.
Then you can manually chanage the settings of your local area connection, and you can be connected with the other computer.
Just search on the internet on this topic, and you will get a dozen of webpages explaining this.