Anyone know about setting up my modem and router to access a vpn?

Answer 1

In most cases all you have to do is add the VPN connector to your computer. (It adds like a dialup adapter)
Just go to Control Panel -- Network Connections -- Add new connection and setup your VPN information (Windows XP)
Put in your VPN IP or domain info - your username and password and you just click to connect.

If you need your router to make that connection for you.. the router has to support direct VPN connection and should have an admin page to enter the VPN information. (Check the router manual or mfgs website for info.)