Ok, if you are on an ADSL connection then voice calls and data are transmitted down the same line.
If you have ever dialled a fax machine then you will have heard the weird noises that come down the phone as data is being transmitted to/from the fax machine. This is similar to the sound that data from pc to pc makes over ADSL.
The filter, or its also sometimes called a splitter, seperates the digital data transfer signal from the analogue voice signal so that you can have a voice conversation without being interrupted by the digital noise.
A router, can also be called a hub or a switch, there are slight differences but basically all do a similar job.
A router allows one internet connection to be shared between as many as 127 pcs, although most people would only have 2,3 or 4 pcs connected.
Depending how you set your pcs up then you can use a router to create a Local Area Network (LAN), this is usually done through ethernet cables from the pcs to the router and if you have a wireless access point connected or a built in wi fi router you can also connect by wireless to the other pcs on your LAN.
You can share files and printers between all the pcs depending on how you set the permissions of each pc up.
You can access the internet from each pc too, via the router, either by ethernet or by wi fi, this type of connection is called a Wide Area Network (WAN).
To give you an example of how people use routers I can tell you what my own setup is.
I have a combined ADSL/Modem/Wireless 4 ethernet port router.
I have one pc that is usually on 24 hours per day and 7 days per week set up as a server which is connected by ethernet cable to the router, I have the pc that I am using now connected by another ethernet cable to the router. I have two spare ethernet ports/cables that I use when connecting other peoples pcs that I am setting up or repairing and I can also connect my laptop through the wi fi part so that I can sit in the garden and use it if its a sunny day.
All the pcs and laptops that I mentioned can be on the net at the same time and can also transfer data from and too each other simultaneously
I hope that this has helped you understand things a little more. If There is something that you still dont understand fully please ask again