Yes, and ilan is correct. If you use the VPN software on your computer it is only protecting THAT computer and nothing else on your network. Most VPN providers will allow 2 to 5 simultaneous VPN connections on their network, so you could use it on multiple devices without running it in a router, including many/most set top boxes.
If you are wanting to protect everything on your network simultaneously you will need to purchase a relatively high-end router in order to run the VPN from the router itself. The prices on these start at around $100 but if you shop around you might find one a little cheaper. I'm using an ASUS RT-AC56U router and it runs the VPN well, but it does slow down my Intenet connection by about 1/2, from 60mbps to about 30mbps (still plenty fast for my purposes), and my ISP (or anyone else) doesn't have ANY idea what is coming and going through my Internet connection or where I am going when I am on the Internet. All of my computers (4), STBs (3), and smart phones (3) are protected. IMHO using a VPN service in a router is the way to go.