you may have to go googling for info using your cable modem with usb, try something like "linux <modem model> usb HOWTO" or something similar. I'm assuming it has an ethernet hookup too, i'd use that because it's probably a slightly faster and it'll be easier to configure in linux. make sure you can get it working in windows first, then if all else fails you can still post here
as for a firewall, i'm sure all the cartoon character linux distros have firewall implementations. i use iptables which is directly implemented by the linux kernel. it can filter incoming, outgoing, forwarded, etc traffic but it's rather cryptic for new users (and us advanced ones too), i suspect it's probably what mandrake, RH, etc use too, their offerings are probably front ends for iptables.
if i haven't confused you yet then you're doing good because i've got myself pretty confused now, i'm feeling awfully random right now.
as far as user friendly distros go, i'd say go with mandrake, i like suse more but it's harder to get your hands on for free as they don't offer nice downloadable disc images.
i just posted this link in another thread but i'll post it again, here's a good linux primer starts off with the very basics
http://www.icon.co.za/~psheer/book/index.html.gz
another decent looking tutorial is "Linux for Dummies" I saw it at the library last weekend so I grabbed it for my brother, it looks to be based on red hat 8 and comes with installation cds.