Actually, the linksys router is the best way to go. I am somewhat surprised that your hub is able to work with the modem unless one of your computers is being utilized as a gateway.
Normally, linksys routers work pretty well out of the box. I would not use their CD since they will sometimes want to install Nortons. The only failures I've seen with the routers are 1) firmware in the router needs to be upgraded, 2) the computers have TCP/IP addresses changed from their standard settings, or 3) software firewalls (especially Windows firewall) in the individual computers choke off the handshaking.
The standard operating procedure is to connect one computer to the modem. Turn the modem on, let it connect first, then turn on the computer and make sure it sees the internet. Then, power down the computer, connect the modem to the router, bring up the router, then connect your computers to the router or through the hub to the router and bring them up. On the first run, I would not allow any firewall software to come up. If your machines stay connected, then you will want to experiment with the firewall software to see where the problem is.