@B_Allen 

A VPN allows you to securely connect to your network remotely as if you were connected locally.  It creates an encrypted connection between the remote device and your local network ensuring the date is private and the connection is secure. 

LAN <-------> Router OpenVPN <~~~~~~ Encrypted Internet Data ~~~~~~> Remote OpenVPN Client `

The OpenVPN service is the most common configuration for most "casual" users and I would recommend Googleing videos and web pages on how to configure it.  In a nutshell, you would setup the server on your router, and then the client on your remote device (cell phone, laptop, etc...)  The router will help generate a certificate for encryption and access control, and then you can download a config file, with the key, for easy config of a client.  The biggest caveat is since you likely do not have a static IP, you will need to setup an Dynamic DNS service (DDNS) to ensure you can reliably connect.

Sorry I cannot provide a more detailed explanation, but it is a little to involved for this forum.  There is no shortage of help online.  Good luck and if you have any specific questions, feel free to reply with them.

  @pcuttle 

Thank you.

So now what I would like to understand is if the OpenVPN client is built into the router, or do I need to purchase other software? If I need to purchase other software, how does it all fit together?

  @B_Allen 

The OpenVPN client is free software you can download for almost any device. The OpenVPN website under Community, Community Edition Downloads has the official community (open source) versions of the client for PCs and The Google play store or Apple Store have the OpenVPN Connect client for mobile devices as well.  Try doing a Google search on setting things up and I am sure you can find detailed tutorials for setting up the router and clients.  Good luck.