I heared that conecting 2 computers in this way may cause some damage to modems
"modem" connection was used years ago, when first modem simply called number of your friends telephone, and he had to "pick" it using his modem instead of telephone.
The good thing was that only one person had to pay for a call (because it was realised as a call, but instead of you modems were "talking"), but on the other hand if it was intercity or international
the bill would be very high
(btw, my friend has found some very interesting method of sharing internet using this technique - He has high speed DSL, and his girlfriend hasn't got any internet. He has also "free evenings and weekends" on his phone. At evenings and weekends he simply calls to her, she answers with modem, and then he switches his modem on and yey - internet shared!