Sorry, forgot your final question...
The limits on the router are you can forward 10 selected IP port ranges to specific machines in your home net. I've heard some online games require this to work, which can take a little digging. As for files, my son reports no problems with Napster, et al. In theory you could also run a web server/FTP server on your home net, but my cable ISP seems to block this--for obvious reasons.
Of course there are software solutions with more power and flexibility, but I think the speparate router probably results in fewer headaches.
--PJ