MightyGem,
Spekesoftly is correct about using the broadband modem suupplied when you sign up to broadband. Most of these modems are connected via a USB port on your PC which is fine in 99% of circumstances.
I used a laptop which wasn't supplying all of the power required to keep the modem going and that caused me problems, so I switched to a router and connected via the wireless link to get stability on the link.
The router itself was really easy to install - literally plugged in and worked straight from the box when I put my username & password in.
The other advantage of a router is that it also forms a firewall between yourself and the outside world. With the directly connected modem you are open to the various agents out in web-land that poll your computer for various reasons, and I strongly recommend you think about using a firewall like Kerios or ZoneAlarm. With a router you don't have to worry as much as the router hides your PC behind it's translation tables.