You may want to check out
http://www.smoothwall.org/ You'll need another computer to actually be the fireawall/router, but almost any old hardware will do. You'll get a firewall, network address translator (which means you will be able to share connections across multiple computers -- but check you conditions of service ;-) ) web proxy -- if you want it -- and intrusion detection system. Oh, and DHCP and DNS, too. All for free
Post or email any questions if you have any.