yes you need a modem or you can use a phone connected to your pc/laptop but this may be a little bit complicated. You can use a usb stick modem but it must be openline so you can use it with any sim or if you want to use only sun you can also buy a smart usb modem which can also read a sun sim.
It looks like this:
Once you have your modem, you download openvpn or http injector for pc (search here sa PHC) that's for a start (there are others possibilities, but these 2 are more used). Then you will need to download the configurations for either openvpn or injector (configs for openvpn are called ovpn and for injector they are called hpi)