Connecting time capsule to wireless modem router via ethernet cable

Hi

I use my TC to store all my data and itunes music/media. I've noticed that when purchasing music, the download speeds are quite slow, even though when I test the broadband speed, it's at a reletively ok 5 mbps. If I hard wire the tc to the modem router, will the downloads be faster? If so, how do I connect them up with ethernet cable. I've done so, and nothing seems to appearing on my desktop.

cheers

Mark.