Lightning protection can be tricky, as it will follow the path of least resistance, I always build my protection in layers for areas that are prone to this kind of damage.
For DSL I always put a surge suppressor on the phone line, I do the same for cable internet (but also directly ground the external cable shielding to the building earth ground directly, in addition to a coax surge suppressor). This will at least help protect the modem from damage.
Additionally, it's good to put a network surge suppressor between the modem and router, just in case something is so strong it gets though the modem (and it's surge protection) to protect the router. The ones listed above would be just fine.
If you also get power surges from storms, a good mains surge suppressor would be a good idea (I usually just use one of the small plugin modules, to put in front of a Power Bar or UPS). To mine I also add a UPS to make sure everything stays running if the power goes out for short periods (it's a bit excessive to have both, but I would rather have the inexpensive mains suppressor get damaged than the UPS in a large spike).
Note: make sure all your grounds are good, test them to make sure they are properly connected.