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Definitely buy a router, it will pay for itself a few months. People saying they get better from the cable company are probably confusing the router with the modem (which sometimes has an integrated router). There may be a reason to take the cable company's modem (probably not though), but there is NO reason to take their router.

Lots of people suggesting the Linksys wrt54g, which was great 10 years ago. You can get router that support a/b/g/n for about the same price, and will be 6x as fast.

I wouldn't plug your computer straight into the router even if you could, because you are exposing your computer directly to the internet. A router provides at least some layer of protection.

I'd get this $19 router from amazon: http://www.amazon.com/TP-LINK-TL-WR841N-Wireless-Router-300Mpbs/dp/B001FWYGJS/ref=sr_1_1?s=pc&ie=UTF8&qid=1414027456&sr=1-1&keywords=wireless+n+router