I'm using one - it includes one ethernet cable in the box - I think it was a 1.5 metre.
The router is a doddle to set up, though the first few pages of the manual go though Windows network adapter setup very poorly - all it needs is that Windows has an Ethernet adapter set up in the "normal" condition.
You WILL be asked to provide a time server, so check up:
http://homepage.ntlworld.com/robin.d.../timesync.html
I use the UBR for time on mine, though it's grossly inaccurate, as I turn my router off overnight - the PC itself is synced to time.cableol.net on a less frequent basis, but I didn't want to hit that server daily, as it would be a waste.
The router operates in the most basic (Dynamic IP) mode, with nothing else set apart from the time server - it appears you must fill that in, even if it doesn't work, and you must enter it by address.