Completely agree about the router - and they don't cost that much more than an ADSL modem. Combining that and wireless access is bl**dy great, and many routers add a hardware firewall too. Only reservation would be that they can be a bit of a challenge to set up - ADSL appears to have a number of implementations and my router has options to fit them all. Also, if you do need VPN access then check with someone running the network first before you buy anything. There are a few hurdles, most commonly IPSec Passthru (their spelling). Most routers now support it correctly but some still ignore or break it.
A simpler solution may be to use Internet Connection Sharing (ICS) - both Windows and MacOS support it. This makes the machine with the ADSL connection act as a router and share the connection around a local network. Works well and is simple to set up, although it means that one machine must be left on for the others to have access and it lacks IPSec support (so most VPNs dont work).