If the device is supported (or has ethernet support), you shouldnt have any problems. If you are new to using linux, I would advise you to use a distro like ipcop, smoothwall or even one of the FreeBSD based systems like m0n0wall or pfsense instead of throwing yourself into the deep end.
I know this is going to sound nasty, but for the love of God/(any other magical higher being), please read the documentation BEFORE doing anything. No application will do everything for you (a common misconception), so equip yourself with the necesaary knowledge before taking on this task.
Good luck, and don't let a few failed attempts keep you from succeeding.