If you are talking about setting up a network through a router's built-in switch and wanna use wake on LAN, it is definitely possible... Setting up a network using a router is the same as setting up a network using any hub/switch...
But to use Wake on LAN, you need both a NIC and a motherboard that support that feature... you should also have a little cable that goes from the NIC to the WOL plug on the mobo... After that you need to enable WOL in the BIOS...