Router Setup

Greetings everyone. I hope I'm not creating a duplicate thread or a question for this issue I'm having but I search through the forums as much as I could to find some answers. To no dismay, here I am!

I have just bought a vpn form PureVPN and subscribed to it and wanted to set it up on my router that it must work for all the devices connected to it, SO any help in regard of steps or doc file, Thanks :)