Difference between Cat 5E and RJ45 cable

I am going to network two computers when my new one arrives. I have network cards in both computers and have a Netgear 914 router. I see that there are Cat 5e cables and RJ45 cables that look alike. Are they the same?
I also see there are different grades of both of them. Do I need to buy the more expensive grade for the best performance?
I have had a cable modem before and now I have DSL and the DSL is much slower than Cable. Is this normal and is there any way I can get faster downloads with my DSL?