I want to know if its possible to create a Vpn connection ON a router so my router automatically connects through the vpn settings.
As a result all the appliances that connect to the router would be connected to the vpn without having to change any settings. Is this possible ?
What you're seeking is a VPN client for your router. Unfortunately this isn't a common feature on consumer routers. But you will find support for VPN client on some third party firmware, like dd-wrt. That said, realize this only supports PPTP and OpenVPN. But if you have a simple, basic need, it may suffice. You could also create your own router using a spare PC, just establish the VPN connection and route everyone through its gateway (that would give you virtually unlimited options). Or else, prepare to lay out some cash for another router.