Help setting up Wi-Fi router

At risk of sounding stupid, I need some pointers on how to set up a Wi-Fi router and make it as private and secure as possible.

To sound even more stupid, I don't really know what PiHole is, or why some people route their traffic through a VPN. I suppose my main questions are these:

• What Wi-Fi router should I get?
• How do I configurate it as somebody who is somewhat privacy-conscious but not very tech-savvy?

I don't really know how regular Wi-Fi routers work, what the common worries are, how/if data is at risk of being leaked, and so on. So, any pointers would be appreciated! Feel free to direct me to any privacy guides, as well. Cheers!