can't remember per month but per year it's around $70.00
But there a few games that have free 2 month trials, like EA games etc. if you didn't buy your xbox yet, it comes with a free trial also. When you sign up you'll see what the membership fee is per month. I just pay per year.
the xbox connects to your dsl modem via an ethernet cable, the same that your modem uses to the pc. You could get a cheap hub and plug your ethernet cables into that. Just get a 60 ft ethernet cable and you're good to go.
you should really check out xbox llive's website (
http://www.xbox.com/en-US/live/default.htm), they have the answers to all the questions you just asked.. including hooking up.