The DSL modem should plug into the phone socket WITHOUT a filter. All the other phone/modem/fax devices that used to be plugged into the wall directly should now go thru a DSL filter.
The reason being: The DSL signal itself comes over the same wires as the standard telephone (voice) signal, but while it doesn't superimpose itself, there can be some inconvenient interferences/noises that degrades voice quality. The DSL filter will clean/block that out and your standard phone devices will enjoy pretty much the same signal quality than before your line got the DSL signal.
The reason being: The DSL signal itself comes over the same wires as the standard telephone (voice) signal, but while it doesn't superimpose itself, there can be some inconvenient interferences/noises that degrades voice quality. The DSL filter will clean/block that out and your standard phone devices will enjoy pretty much the same signal quality than before your line got the DSL signal.