Well, the best way I can think of to answer your question is to draw ya a diagram of exactly what happens when you connect to yahoo.com.

ok, here's an example where you are connecting to yahoo.com without a router...

'You ask yahoo.com to SYNchronize a connection
you -> TCP SYN packet -> yahoo.com
Source IP: 123.123.123.123
Target IP: 231.231.231.231

'yahoo.com ACKnowledges the SYN and says all is go
yahoo.com -> TCP SYN/ACK packet -> you
Source IP: 231.231.231.231
Target IP: 123.123.123.123

'you acknowledge the SYN/ACK. connection complete
you -> ACK -> yahoo.com
Source IP: 123.123.123.123
Target IP: 231.231.231.231

there's the connection sequence. understand? good. Now let's take a look how it differs when a router is thrown into the mix. Now, one thing to keep in mind. When directly connected to hte internet, our Gateway was configured by your ISP. A gateway is where a computer sends all of it's packets that don't belong in the local network (specified under the subnet mask). So if you have an IP of 192.168.1.2 and your subnet mask is 255.255.255.0... then all packets destined for a 192.168.1.x is sent directly to the computer, and everything else is sent to the Gateway. The Gateway is your access to the world. When you have a router configured at 192.168.1.1, then THAT is your Gateway. THAT is where all packets are sent from your computer that isn't on your local lan. So here's what happens when you send a connection request to yahoo.com.

key
123.123.123.123 = router external IP
192.168.1.1 = router lan IP
192.168.1.2 = your IP
231.231.231.231 = yahoo.com IP

**********

'SYN packet sent from you to the router.
192.168.1.2 -> TCP SYN -> 231.231.231.231

'router caches information in it's routing table that 192.168.1.2 is connecting to 231.231.231.231.

'SYN packet sent from router to yahoo.com
123.123.123.123 -> TCP SYN -> 231.231.231.231

**********

'SYN/ACK packet sent by yahoo.com to the router
231.231.231.231 -> TCP SYN/ACK -> 123.123.123.123

'router checks it's routing table and sees that 231.231.231.231 is an IP that 192.168.1.2 is connecting to. To keep track of multiple connections from multiple computers on the LAN to yahoo.com, keep in mind that each connection to yahoo.com requires a unique router local port. So all responses to that port that matches the stored routing information is passed through to the relevent lan computer.

'router sends packet to the lan computer
231.231.231.231 -> TCP SYN/ACK -> 192.168.1.2

***********

'you send the connection acknowledgement to the router
192.168.1.2 -> TCP ACK -> 231.231.231.231

'router sends it off to yahoo
123.123.123.123 -> TCP ACK -> 231.231.231.321
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