You'll want to get a router unless your cable modem has one built in. If the cable modem only has 1 network (RJ45) connection, this is very unlikely. You really should have a router anyway for security reasons, especially if you are reliant on the built-in XP firewall. If you aren't running ANY firewall, RUN, don't walk to your nearest Wal-Mart, Best Buy, Circuit City, etc. and buy a router. Next step if that's the case is to go through the process of making sure your machine isn't infected with any number of trojans, spyware, viruses, keyloggers, and zombie software. In fact, reinstalling from scratch might be in order. Not trying to scare... just trying to give a reality check. If you are running a Mac, probably not the case, but a router is still prudent.
Anyway, get a router so you can plug your computer and playstation into it at the same time. It's problematic switching the IP Address from your router between two machines.
Here's a decent writeup:
http://ps2.ign.com/articles/368/368038p1.htmlThere's more to know, but that should get you started.