If the printer has a built in ethernet port then yes you can connect directly to the router(this is not common for a home inkjet). If it doesnt then yes you must purchase a print server. They dont cost to much and are worth it. You then plug your USB cable from the printer into the print server, then plug a cat5 cable from the print server to the router.
I would suggest manually assigning an IP address to the print server so you know what IP address to enter when setting this up in Windows via a standard tcp\ip port. Then so long as the router/printer server is on that is the only thing the printer depends on. No more PC wahhooo!