The short version goes like this:
Step 1: Check your router
Find out if your router is VPN compatible.
Step 2: Get the firmware
Install the right firmware on it.
Step 3: Get a VPN
Install a VPN on the router.
Step 4: Connect
Connect your TV to the router.
However, the setup is not a one-size-fits-all solution, as each router has a different installation process. We suggest following this comprehensive guide on VPN router setup: