It really depends on how you're wired inside your house. Yes, the signal for your cable modem is fed in through your main cable line and is shared with your normal tv signal. Where the cable line comes into your house and how the signal is split (sent to all your outlets) is where the answer lies.
If the outlet from each room has a direct line to the main cable, you can connect your cable modem to any outlet. This is also required for Digital Cable. So basically, if you have say 4 outlets in your house, ideally you should have 4 cables running from these outlets to where the main line comes in.
However, most of us live in older homes where there's only one line that goes through the entire house. Typically it feeds one room and is then daisy chained to the next room and then the next room, etc. This system works fine for typical analog cable-tv, but for broadband internet, it may cause serious signal loss. In this case, it is best to install a new line directly to where you want to put your cable modem. If your cable modem shares a line with your TV, the signal should always go first to your cable modem and then, with a filter installed, to your TV.