|There are plenty of Linux/BSD based routers just for that use. Many are very high quality and quite impressive. |
Some are embedded floppy based for very small footprints a to larger live cd based.
http://www.untangle.com/ may be a very good start. Many others too would work. See also the list of projects at VMware's virtual machines.
An easy way would be to get a good SOHO router an learn how to set it up to protect your system. Most people do not protect their system with the features they bought.
"Best Practices", Event viewer, host file, perfmon, antivirus, anti-spyware, Live CD's, backups, are in my top 10