Many routers these days feature a built-in VPN client. Alternatively, you can replace the firmware that comes with just about any router with an open source alternative such as DD-WRT that supports VPN connections. The advantage of using a VPN on your router is that all devices which connect to the router are protected by the VPN. The router also counts as just one VPN connection, no matter how many devices you connect to it.    If you have a dual-band router, you can set up the VPN on one band and connect devices that you don't want to use the VPN on to the other. Proton VPN has detailed VPN router setup guides for a number of popular routers.