From what you've said it appears that you have two ethernet connections available on your PC. If that is the case then the simplest solution is to setup internet connection sharing on your windows PC. You can't bridge the ethernet connections because your of your dial-up connection via the modem, the dial up connection will only provide a point-to-point link to your internet service provider and it wouldn't be able to cope with a second (or third or more) device attached via a bridge.
You should be able to find instructions for how to setup internet connection sharing fairly easily and it does differ somewhat between versions of windows, but in Windows 7 it is simply a case of right clicking on the internet connection to to your ISP, selecting properties from the menu and then in the dialog box displayed select the 'sharing' tab and enable the option 'Allow other network users to connect through this computers internet connection' and from the 'Home network connection' drop down box select the ethernet connection that your pi is to be connected to. The PC should then configure a DHCP server on that ethernet connection and your pi should get an address automatically and traffic to / from the Pi should be NAT'd by the PC.
If you want to connect directly from the pi then you'll need to configure a pppoe client (PPP over Ethernet). This can done by following the instructions here https://wiki.debian.org/PPPoE
and following the instructions for 'How to enable PPPoE for an already installed system'. Unfortunately you'll need to install the ppp packages on the Pi which aren't installed by default and that won't be easy without a internet connection.
Of course another option is to purchase a router and install that between your modem and your PC and use the router to setup the dialup connection. You could then plug both the PC and the Pi directly into the router and not have to worry about setting up dial up on either.