Review:
LinkSys Cable Modem Router BEFSR41

I think this is a great product at a good, inexpensive price. Used for connecting between a cable modem and your home network (or even a single computer), this product has a built in firewall and NAT to protect your computers from outside users or hackers. It specifically block file sharing, so you don't have to worry about unconfiguring this confusing feature on your computers; the firewall blocks it completely and automatically! Additionally, the NAT translation ensures that your computers cannot be directly reached from outside your network unless your computer first requests the connection be made.

The device itself is actually very easy to install, and can pretty much just be plugged in between your cable modem and computer. (This assumes you have an external cable modem connected via an Ethernet cable.) It has a built in DHCP server so you can just plug your computer into it instead of the cable modem, and then reboot. (Your computer was probably configured for DHCP when it was connected to the cable modem.)

The device has a router built into the LAN side, so it may make your network slightly faster by routing between the computers plugged into it's front LAN ports. You can also pass on specific ports to a specific computer if you have a server or actually want outside users to be able to contact a particular computer for some reason. (Note: The DHCP function is separate from the forwarding function, but you must give the 'forwarded to' computer a static IP for it to work.) Finally, you can also have a computer (at a specific IP address) completely outside the firewall should for some reason you want that.

Using the most recent firmware upgrades, the device supports VPN, and I often use a VPN to connect to work through it.

All in all, this is a very good product that I recommend.

For additional reviews, see Practically Networked.