Or to expand on Cian's answer, with a proper firewall device you can get in and have a look at the data being passed.
Your regular router can restrict on source IP, destination IP and port which can help you block say all http traffic on port 80 coming from/to such and such.
But a full on firewall will let you look at the traffic passing though it on port 80 and block out specific content.
I can for instance block traffic with a content type of 'application/x-javascript' or 'audio/x-pn-realaudio'. All other HTTP based traffic can be accessed ok, but my users won't be able to download JavaScript and Real Audio content.
Add value to this by plumbing in a virus scanner on the Firewall itself (most manufacturers have some kind of subscription based offering these days) and your firewall device can give much greater protection than your router.