maggioneato,
the router is especially interesting if you want to connect more than one PC to the internet. Otherwise, it will do exactly what your modem does, plus firewall, that's all.
Did you take a look at the
McAfee Personal Firewall Plus user's guide ? Doesn't look too complicated (but maybe I'm too much of a geek
![Nerd](images/smilies/nerd.gif)
)