VPN Set Up

I'm trying to set up a VPN that I can go through the router so that it supports multiple devices. I currently have the Arris TG1682 Panoramic router through Cox and I cannot find ANYTHING to help me with this. My main reason for getting this set up is to stop the DDOS attacks while gaming. It's become quite annoying since that new website was created recently finding IP address through searching gamer tags. If anyone has any solutions to this, even if it doesn't involve the VPN, I'd greatly appreciate it.