What are the advantages of internal modem?

These devices server two purposes. The modem (more likely a Router if you use Broadband) connects you to the internet. The Wireless part allows you to connect your PC to it. The advantages over a Wired Router is that a wired router requires you to connect your PC with a network cable. This restricts the position of your PC and Router as they both have to be within 5m of each other - or you invest in room to room cabling. The wireless connection allows you much more freedom as to where you locate your PC or laptop. The Wireless signal can travel through walls and ceilings so you do not need "line of sight" but it is restricted by the density of the walls and live electrical cabling. Wireless routers also allow you to connect other devices which do not have a network lead connection. This would include mobile phones, game consoles, television receivers etc.