Are you referring to this ?
And which side of the filter are you connecting the modem to? Because if it's the DSL side, there's a good chance you'll introduce noise in ADSL frequencies. If it's the phone side, dialup may not work properly.
the plugs are different aren't they so they can only go in the right way
No, actually, both phones and modem cables can be supplied with either RJ11 or 431A connectors. Typically an adapter is supplied with RJ11 connectors, but that doesn't mean you're using it.