Yes, PureVPN can be installed on your router. We recommend you install DD-WRT firmware on your router. Note that not all routers are supported by DD-WRT.
1) First check for router compatibility here: http://www.dd-wrt.com/site/support/router-database
If it's supported, get it installed on your Router.
2) Then follow the pictorial router VPN tutorial here:
http://www.purevpn.com/vpn-service/router-vpn.php
Don't forget to leave router connected for upto 5 minutes for the VPN connection to establish and take effect.
Switching VPN country:
For switching country, just edit the server hostname, save configuration and reboot router
P.S: You will need to have a High bandwidth subscription for using VPN on router. Other subscription are not supported.