I do exactly that with a Billion modem. It also allows direct access to the modems internal webserver too which can be handy. I just give it a LAN IP address.

Not actively looked for any dodginess but given the PPPoE stuff is all happening on the separate firewall box, I can't see how anything can get anywhere on the ADSL itself.
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Christian
#40104192 120Gb (no longer in my E36 M3, won't fit the E46 M3)