web proxy

I have a small home network with a D-Link DI-604 router in it. I have a
web proxy to filter ads out of web pages set up on each computer
(privoxy). I noticed that my router is just an older version of linux
(kernel 2.2.x), and I know that privoxy is compatible with linux. My
question is, is it possible to put privoxy on the router instead of each
individual computer? If so, will this affect my network security?
Thanks for any help.

Joe