I moved in to an apartment where I can simply plug in my laptop to the internet by connecting it to a wall socket using an Ethernet cable.

I was wondering what is the difference between using this method and using a router? What about a modem, would this be present somewhere in the network?

I thought about security issues especially the firewall, but this is also available on the computer it self. Does it make much of a difference?

So what are the main differences? Are there any advantages or disadvantages between using and not using a router to connect to the internet?

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    There will be a router somewhere, probably at the other end of the cable feeding the wall socket. Using your own router will keep your computer isolated from every other computer in the building that is on the same network ... – DavidPostill Feb 13 at 22:35

You need to ask your Landlord. It is most unlikely you have direct access to the internet. You likely are connected to the Landord's router / switch setup. You can add your own router to provide your own inside subnet and some increased security (another NAT). You can check your firewall settings for additional security as well.

Additional followup note: Your own router will allow Wireless in your apartment which may be important for you. Laptops like to be wireless and the same service can work for your Phone as well.

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    Good luck with your setup. It should work just fine. – John Feb 14 at 11:47

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