Well, not all support IPSEC VPN, so the cheaper ones will not support it unless you run teh VPN on one of the Servers, so if you dont have a Server (Windows Server, Linux) then you want a router to support VPN then you will need to go into the business models Cisco Linksys:
All Operating systems have builtin VPN authenications builtin into them just search howto setup PPTP VPN and you will find more than enough information on that.
If you are just wanting to use a VPN to make your connection secure and dont want to hassle with all the hardware/server configs ETC then you look at a service like this:
if I ahve answered your question please hit ACCEPT. thanks