My friend said to me that a virus had entered into his internet broadband modem.Is that possible?
Can a virus enter inside modem?
The Modem is a external one which is provided by BSNL(a Leading Company in India)
please answer..............
thanks in advance.

any sort of connection that sends data view wifi, modem, lines, etc. can deliver spyware and virus yes, read more about it here <link removed>
in most cased, the file has to be executed for the virus to deploy but not all cases

littlephoenix is right, Every device has an OS, your friends Router is most likely using a flash ROM so for that to catch a virus is rather unlikely unless the ISP it self caught a virus which is patching his Router.

Ofcourse if you are saying he/she has an external modem (56K) hardware only which has caught a virus then I should inform you he/she was probably robbed as well cause for that to occur the person who put the virus there needed physical access.

Now you mentioned he/she has a internet broadband modem, I am guessing you mean router, if so the likeliness that he/she has a Flash ROM based modem is very high, therefore the chances he/she has a virus in the actual router is very low.

The cable modem has no storage or processor. There's no way any virus can infect a modem. Viruses only reside on computers. The modem is controlled by your internet provider so I believe if there is infection it would be coming from your internet provider.
More likely there is an infection ON his computer which is "calling home" to bring in more infection.