[danielf]

To be honest, I've had routers for so long that I don't remember the initial setup. If I remember correctly, the router should come with software that will make the necessary changes to the pcs you want to connect. Alternatively, you can make these changes manually (which is what I do). Either way, it should be a matter of minutes before you get connected to the web. Getting the computers on your network to communicate with each other (to transfer files for instance) can be a bit trickier, but I presume that will not be your first interest.

Regardless, there are plenty people here who will be more than willing to help should you run into trouble, so I'd say Go for it!

Also, if you stick to a wired router, there will be no security issues. Quite the contrary in fact. The router acts as a buffer between you and the web and protects you from attacks from the outside world. There can be security issues with wireless routers (your wireless might get hacked), but if you stick to wired, there are no such risks.