I would respectfully disagree with the recommendation of getting Proxy. There are a few reasons I say this. One of the biggest reasons I would suggest a router is the "black box" idea. Once the router is configured.. you are done. Even if you lose power, it comes back ( normally!), no spinning hard drives to crash, no service packs that can blow away the configuration and here in CA, power consumption ;-) There is also the raw cost. A small firewall router can be had for as little as $150.00 and $1,500 can get a brand name like Cisco with firewall software. The proxy with the software and server will exceed the 1,500 cost.
With all that said, Proxy is great if you want to control and log access to the internet. There are some other features that come to mind that Proxy or PIX or others have that go beyond a basic firewall. If you have that need then the costs become more in line with each other.
I've glossed over a few things but to do this subject correctly would require a entire white paper to be written and I feel lazy today.
Mike S
"Diplomacy; the art of saying 'nice doggie' till you can find a rock" Wynn Catlin