Can a router create a VPN for me?

You can set up VPN between two routers if both of them have appropriate software support. Some business class routers do have integrated VPN servers (for example Netgear FVG 318 and Cisco ASA 5505).

As for consumer routers, they usually don't have direct support, but third party firmwares can be used to make is available. For example OpenWRT has support for OpenVPN. Here's an article about it.

I'm pretty much sure that other free firmwares have VPN support too. Here's an article about Tomato and OpenVPN. You could also use one router as VPN host and have clients connect to it.

I don't think there's support for Linksys WRT110 among third-party firmware projects.

It seems that DD-WRT supports the RT-N12 router, so you can configure that one. Here's an article about DD-WRT and OpenVPN. Here's a thread about RT-N12 on OpenWRT.