Here is where you can find some more information and ideas to try: http://forum.xda-developers.com/showthread.php?t=948010. You could try plugging the phone into the USB port directly to see if it works, some people mentioned that it could work. Otherwise, you would need an OTG cable and a USB to Ethernet adapter, then connect to an Ethernet cable. Not all devices are capable, but many are for a wired connection.
perhaps your Android is not made so that output of a cable modem to be inserted into its USB jack. perhaps you need also firmware update?
or Android Phone -> USB OTG adapter -> USB to ETHERNET dub-e100 -> ethernet cable -> Router
http://www.amazon.com/D-Link-DUB-E100-Fast-Ethernet-Adapter/dp/B00006B7D8
Here is where you can find some more information and ideas to try: http://forum.xda-developers.com/showthread.php?t=948010. You could try plugging the phone into the USB port directly to see if it works, some people mentioned that it could work. Otherwise, you would need an OTG cable and a USB to Ethernet adapter, then connect to an Ethernet cable. Not all devices are capable, but many are for a wired connection.