Actually, it's not that difficult.
1. You may be given the choice between a USB router or one with an Ethernet port. Go for the one with the Ethernet port.
2. If you plan to share this connection with more than one computer, purchase a decent broadband (called SOHO for Small Office, Home Office) router. You might even go for a wireless one because you are set if you want to go wireless later. A wireless router combines the best of a router with a wireless access point. I have had success with the LinkSys WRT54GS (owned by Cisco Systems), but there are other decent routers, such as Netgear, Belkin, and D-Link.
3. Before connecting the router to the network, connect your computer to the router and configure it. Unless you have DSL, your router is all set to go, but everybody in the universe will be able to connect to your router and make changes unless you configure it first.
4. At a minimum, change (1) the administrator password, (2) the name of the router. If you get DSL , you will have to make some additional changes. Follow your router's instructions.
5. If you took my advice and did not get a USB modem, you will not need the software that will undoubtedly come with your modem (or router).
6. Your modem will connect to the commercial line, your router will connect to the modem, and your computers (up to 254) will connect to your router (uses switches if you want to extend). You will normally be able to connect 4 to the router directly.
7. Your router will act as a firewall (of sorts) because it will change your internal addresses to a type that is not routable on the Internet and prevents outsiders from directly connecting to your internal computers (provided you did step 3). In most cases, your address will start with 192.168.x.x or 10.x.x.x.
8. Everything on the inside (connected to the LAN side of the router) is on the same network. So you will be able to share folders, printers, etc., with others on your network. Everybody on the LAN will also be able to independently connect to the Internet, play online games, etc., despite the fact that everyone is using the same IP address (on the outside).
9. Finally, keep in mind, your service provider sees your router as the internal computer, they can't see your computer either. So if they ask you to reboot your computer, you have to remember to reboot the router also.