Your computer can use a router, in fact it will "just work" if you stop messing with settings you don't understand.
Mac OS X looks for and activates internet connections it finds when you start up, disconnect or connect Ethernet, modems and AirPort.
An AirPort Base Station does require a few steps to begin using it (it is like a very simple computer). In the Applications folder is the Utilities folder, inside that is the AirPort Setup Assistant. Double click on it and follow along, it's no different than using the infinite number of Windows "Wizards" that you are blasted with no matter what it is you are installing or configuring.
It sounds more like you are trying to find some reason to bash the Mac OS or the hardware not because they are flawed, but because your expectations are based around Windows and how it works.