Does anybody know if you can out a adsl connection straight into the router. The specfications suggest not but draytek.co.uk products screenshots show a picture with adsl connected directly

The 2920 does need a separate modem, it hasn't got an adsl modem built in. I can see what you're referring to on the site, but that's a picture of a 2820Vn (which does have an ADSL modem) which looks like its been re-used on the 2920's page.