Most, if not all, modern routers will support a Virtual Private Network or VPN.
There are many different VPN clients available to download for free, although you may need to configure your router before you can set up a private network.
It’s also advisable to download the latest firmware for your router. When you’re ready to go, you will need the IP address of the network you wish to connect to.
Older routers and hardware may not be capable of running VPNs without Point-to-Point Tunneling Protocol (PPTP) which offers limited security, but faster connection speeds.