charlie brown-
Mariner has done an excellent job of explaining the hardware-based protection a router gives to devices hooked up to it.
An additional benefit you will get is the ability to have multiple computers on-line at once without bothering to potchke with a shared connection.
An unsolicited opinion or two:
2) I believe cable for internet only costs about $50 a month in NYC. There are several DSL deals that are significantly cheaper ($20 + a month). The speed is slower, but for most people who access the web, use email and occasionally download stuff (like me) DSL is fine.
http://www.cnet.com is an excellent site for reviews, both professional and layman, and has software available for download as well.
Hatzlocha!