The ADSL modem musn't be filtered, everything else must. Most filters have two female sockets marked ADSL and phone respectively. You can get them for about £2.50 including postage, but the ADSL modem box usual includes 2.
For those with more sockets and/or those who don't want filters hanging out of their walls, you can replace normal phone faceplates with ones with built in filters. You can also replace the first/master socket in the house with one which filters the signal to the slave sockets which run from it around the house.
See
here.