What you want is a NAS (Network Attached Storage) device. It looks like an external hard-drive, but it is slightly different. DAS devices can be plugged directly into the router, as opposed to being plugged into a computer. Also, NAS devices are designed to allow multiple users to access files at the same time.
There isn't much as far as setting it up. Here are the steps:
1. Purchase NAS
2. Plug NAS into router
3. Follow NAS setup instructions (per your manual)
4. Map a drive-letter to the router.
If you aren't sure how to map a drive, this is fairly simple too:
1. Open Windows Explorer (NOT Internet Explorer)
2. Click Tools -> Map Network Drive
3. Choose the drive letter you want to assign
4. Click the "Browse" button next to the Folder dropdown.
(It SHOULD open a window showing "My Network Places")
5. Click the + sign next to "Entire Network"
6. Click the + sign next to "Microsoft Windows Network"
7. Click the + sign next to "Workgroup"
8. Choose your device and sub-folder if necessary.