Well then there's two answers.
To use the RT-N66U as an OpenVPN server, you need to enable this in the GUI, and then export a config file. Use this config file on whichever device you're connecting from using the OpenVPN software.
As for browsing anonymously, just sign up to one of the many VPN providers and install their software on whichever device you want to browse anonymously from. I don't use a VPN to browse so I can't recommend a VPN service, however a quick search on this forum and Google should point you in the right direction.