This is very hardware-dependent and in some cases even impossible to pull off.
The moment you set up a VPN on a router, it will sufficiently cover all devices used under your roof.
Meanwhile, a VPN router is configured in a way that it does all the heavy lifting that the VPN software would do. Such software has the benefit of a user interface, which allows you to pick and choose servers, tunneling protocols, and sometimes even which apps go through the VPN. Typical VPN software works by encrypting your internet traffic and routing it through a remote server, thus keeping your online activities secure. Secure your home network with NordVPN What is a VPN router?
Instead of worrying about each device separately, all of your connected devices will be secured by default. Installing a VPN on your router is one of the best ways to secure your entire home network.