Trust me, internal will be faster as it'll communicate directly with your motherboard (and no via Serial, Paralell, USB, or FireWire);
www.newegg.com is yoru best bet for buying components, they're actually one of the only sites I buy stuff from; and that modem will only cost you $9 or so there.
Installing it is easy, power down the computer, pop of the side of the case (you'll need a phillips screwdriver) slide the pci card into an open slot (pci are white, isa are black) screw it in, pop the case on, then power it up. It'll go in snug, theres no worry about putting it in properly as it'll only fit in one area and will fill the entire slot on the motherboard.