The distinction between a modem and a router is sometimes confusing, especially because most people are only familiar with their router. Your router creates a network between the computers in your home. The modem is what connects that network, and the computers on it, to the Internet.
When you connect to wifi, you're really connecting to your router, which forwards traffic between the Internet and your computer. Many routers are actually combined modem/router units that take care of both jobs - so when you see the word "modem" while setting up Milo, it also refers to your router if it is a combined unit.
The modem plugs in to whatever infrastructure you have - cable, telephone, satellite, or fiber - and gives you a standard Ethernet cable output that you can plug into any router, or a single computer, and get an Internet connection.
Your router is simply what allows you to connect multiple devices (your computers, tablets, Sonos speakers, and anything else you have at home on your "private local network") to the Internet through one physical connection, and also lets those device communicate with one another over the local network.