If you're going to put your computer in the DMZ, get ZoneAlarm or a comparable piece of software. Probably a good idea to grab a copy of Norton Antivirus as well.

If you don't mind spending a couple of bucks on another piece of hardware, another way to accomplish what you want is to get a 10/100 switch and plug all three pieces of equipment into it (1. the cable or dsl modem, 2. the linksys router, 3. your pc). If you do this, be aware that newer DSL modems such as the Westel Wirespeed 2200 has a built-in DHCP server that WILL conflict with any other DHCP server on the switch, like the one in the Linksys router. Also, the Linksys may have the same IP (192.168.1.2) as the DSL modem. Best of luck.