Thank you for your feedback, however, it is very difficult to make a good recommendation for what you’re asking. One issue upfront is that I don’t know if you need a modem or only a router.
A modem is a device that is designed to encode digital information over analog means. This might be a cable modem for a coax service, usually provided from a company that originally was only a cable television service like Comcast in many regions. You might have a DSL modem for Internet over a phone line. You might have Internet over fiber, satellite, or a wireless Internet provider over 3G/4G/5G.
Based on what your service provider is, you’d need a completely different type of modem and that changes what I can recommend.
A gateway is a network device (usually called a “router” for homes or small businesses), which is designed to provide an isolated network, provide some levels of security (firewall), and assist with connecting to the Internet (usually through a modem). You can find devices that will provide both, i.e. a modem with built in wireless router functionality.
If you want to run your entire house through a VPN, or an entire desktop, you likely either need a good gateway device or a dedicated hardware VPN device. Most routers and gateways will not support VPN tunneling. VPN connections require encryption, which requires hardware to keep up with the connections, constantly encrypting/decrypting packets being sent/received. So be sure to check what you’re reading. Many gateways support operating VPNs, with very small number of VPN user’s, it can sometimes keep up. Not many support connecting through a VPN.
If you want to save money, using VPN client software is a good choice. You do need to be sure it is running through. Client software can also slow a low-end machine noticeably and kill batteries on laptops faster due to the encryption required.
Most modern devices are managed through a web administration interface, so you can manage them from a Windows machine.