When you surf the Internet you actually download files to you Hard Drive, and the Browser put them together to make a page.
The Router usually would not know the purpose of the files.
On a Browser level it can be done by creating a filter that filters out files with extensions like *.zip, *.exe, *.rar (taking the risk that it might block needed files as well).
If you use a Software Server/Router you might be able to do it at the Router level as well.
I do not thing that any of the Hardware Entry Level Router has this capacity.
:sun: