There are a few 'protectors' that say they work, but its a case of trying them out and most will not stop a direct hit on a line stopping the modem being killed. A lightning bolt that has travelled through the air for 100's of metres will think nothing of jumping a foot or two of air gap when leaving a wire.
In short not a lot you can do, your master socket should already have protection built into it, but ADSL modems are very sensitive RF devices so even a near strike and induced voltages can kill them. The modems themselves usually have a safety device internally to help reduce the risk of fire and onward problems e.g. propagating onto Ethernet network.
Most lightning protector devices you can buy are really insurance products where the insurer will try and work the clauses to not pay when you do claim.