You can get a soldering iron for $8.00 dollars or less
at any electronic store radio shack etc.

You will also need solder 60/40 Rosin Core solder also at radio shack etc.

You can also get some desoldering braid or soldering sucker to remove solder.

If you have never solder before this video shows you how to
solder a pin header.
http://www.youtube.com/watch?v=EpqF_fiWJHE

How to solder Tools and materials
http://www.instructables.com/id/ETY40T584KEWP873CF/


When soldering the pin header no 2 pins should touch each other
make sure no solder is connecting or bridging any pins together.
Too much solder should be removed with some solder wick or solder sucker.
Hold the iron on long enough for the solder to work itself into the holes properly.
Look at the traces leading to and from the pins make sure no solder
spill on to the traces while soldering.

If your routers jtag port has solder already fill in the holes.
You need to clear out the solder from the 12 holes etc before you install the pinheader.

Vacuum Desoldering Tool (soldering sucker) 
http://www.radioshack.com/product/index.jsp?productId=2062745
Best for begginers due to ease of use.
Placed the tip on the back of the circuit board and heat the holes up from the front.
Once the solder melted hit the relase button and it will sucked the solder right out.
Get it flat against the board to really suck the solder away.

Desoldering Bulb Same as the above^^^
http://www.radioshack.com/product/index.jsp?productId=2062742

Desoldering Braid
http://www.radioshack.com/product/index.jsp?productId=2062744
Try melting some solder on top of the holes and then using he braid. See if you can pull it out that
way.Removing solder is best accomplished by actually adding some new solder to both sides.
The flux in the new solder makes the old solder flow much better making removal much easier
with a solder sucker or braid. Some braid will have flux in it and to use it effectively
it is best to add a small amount of solder to the braid to get the flow started.
Just plain braid without flux will rarely work.
If you have some flux, you could just apply some to both sides.
Without flux, solder gets an oxidized layer when heated which prevents it from
flowing and sticking to the pins on the components.

Removing a pin header
Easiest way to take the Pinheaders out is to heat the solder on each pin and pull
the pins out one at a time with needle nose pliers
(if you don't have a de-soldering iron or solder sucker) or if you slide the black plastic
piece off the header you just heat the solder on the pins and they drop right out.
 

If solder is already bonded filled in to the jtag connection holes location, you will need to use
a soldering iron to remove it from each hole with a solder sucker or desoldering braid before
inserting the pin header. Once you insert the pin header on the top side of the board, solder
it from the underside of the board. Routers with 14 pin jtag port Solder your 12 pin header into pins 1-12.
Example: Buffalo WHR-125 the JTAG header on this unit is the same as any
standard Linksys or Buffalo JTAG except it is a 14 pin header...just don't use
the last 2 pins (13,14) on the router. Solder your 12 pin header into pins 1-12 as normal
and it can be jtag from the top of the Motherboard of the router.

As you can see soldering is not hard (recommended method to install the pin header if needed)