NAT router is PC or stand-alone device with two or more network interfaces.
NAT stands for Network Address Translation, providing transparent access to the rest of the IP network (usually Internet) via one gateway computer. The computers all have unique ip addresses, but the outside world only sees one address, the one of the server.
In Windows 2000, NAT router can be enabled on the tab "Sharing" in properties of a network connection or using the snap-in "Routing and Remote Access" (only for Windows 2000 Server).
In Windows XP, NAT router can be enabled on the tab "Advanced" in the properties of the network connection.
There are third-party NAT implentations for Microsoft Windows.