Installing them incorrectly could cause you major problems.
When you have an ADSL connection at home, you need to install a filter on each socket, no matter whether that socket has your home router connected to it or not.
The filter should be connected directly to the telephone socket, with the ADSL modem and your ordinary telephone connected to the filter.
The filter works by separating the telephone signal frequencies from the ADSL frequencies so that they don’t interfere with one another.
If you only have a filter on the socket that has your router attached, then other telephones connected to other sockets on the same phone line may interfere with your ADSL connection. This could result in lower performance or, more likely, a loss of connectivity all together.
It’s also a good idea to connect your ADSL router to the main telephone socket in your home. This is the one which is installed by the telephone company and connects directly to the outside world.
The reason for this is that the master socket will have the shortest connection to your local telephone exchange, which means there is less likelihood of signal loss between your home and the exchange. Less signal loss usually means a more stable, and often faster, connection.