Connection to ground for a Cat5e Shielded outdoor rated cable
Generally CAT5e cable is not shielded so you will have to make sure to buy the shielded variety if you want to shield it. 

The best place to ground the CAT5e cable is to the chassis of the wireless modem. That works well when the wireless modem is AC powered with an three prong AC cord that then connects to a valid grounded three prong AC outlet.

If the cable equipment is not grounded at the AC plug then your better bet is to find a way to run the cable inside the walls.