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I have a Linksys router that is compatible with Cox. However, it does not support Open VPN Client. I also have a Netgear router -- which does not seem to be compatible with the Cox modem -- but it does support VPN. Will it completely foul up the works if I daisy chain the Netgear router to the Linksys router?
First, generally any router would be compatible with COX. The Modem connects you to the cable headend and negotiates all of the security and translation to Ethernet. Generally there is one coax (typical cable looking connection) and one ethernet (square phone looking) connector on the modem. You connect the ethernet to ANY router's WAN port. Turn off the modem, turn off the router (unplug them really) wait a minute, then plug the modem in. Wait about 5 minutes for the modem to sync with cox and get an IP address etc. Once that is done the lights on the modem would be stable. The activity light might be blinking a little. now turn on router. Wait another 5 minutes. Connect your PC to the LAN port on the router and open your browser to the router webpage. Login and setup your router. You should be an IP address from Cox and your router will handout internal addresses to you LAN. If you use the router that supports openVPN you should be good to go.
One more note, most all Linksys routers support third party firmware like DD-WRT (google it). You can always replace the stock firmware with this (I've done it for almost every router I've ever bought) and that will give you openVPN and lots of other useful features. It's usually pretty straight forward to accomplish.