A VPN router is a Wi-Fi router with a VPN installed on it. Some routers come pre-installed with this feature; others require a manual install. To install a VPN on a router, you need to flash the router firmware. Whether you can flash the router you already have depends on the make and model.
Most VPN routers cover the whole network under the VPN umbrella, while the more advanced ones let you manage your VPN connections separately. Either way, they provide a VPN service without the need to install VPN software on each connected device.