Bo Jingly,
Routers are like a Hub/Switch with a Hardware Firewall Built in.
What is does is log into your Cable/DSL Modem for you and allows more than one computer to share the connection by handling all the internal traffic of your network and interfaces with the Internet automatically.
Here is an example of a Router:
The one above also has a USB Printer Port on it so all the computers on your network can share a printer.
D-Link, Linksys, and Netgear all have very good routers.
Take Care,
Richard