VPN Passthrough

Hello there! I'm interested in establishing a VPN on my C6300 AC1750 router so that every connected device will be protected. I have learned that this model does not exactly accomodate the option of installing such, but it will support a VPN Passthrough. 

Can someone help me to understand how this is installed? Does it work the same way? Can I install this VPN Passthrough on the actual router and therefore have every connected device protected or is there something else/more to it? 

Thank you so much!

Stephen