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Some people have asked me to recommend a wi-fi router for live sharing. The current top seller on Amazon.com is the TP-LINK TL-WR841N, which sells for under 20 US dollars:

http://amzn.to/1NUqUUO

I ordered one and it worked fine with minimal setup:

• Take the router out of the box, connect its power cable and turn it on. (Most routers don't have an on/off switch, but this one does, right next to the power jack.)
• Wait about a minute for the router to boot up. When it does, the power light will be solid green and the wi-fi light will be blinking green.
• On your mobile device, go to the wi-fi settings and select the TP-LINK network.
• Enter the default network password, which is printed on the bottom of the router.

That's it ... you can now use live sharing. No Internet connection is needed with this router.

Here are a few improvements you can make to the default settings:

• On any device that is connected to this router, open a web browser and navigate to http://tplinklogin.net
• When prompted to log in, enter "admin" as both the username and password. The router's admin interface should appear.
• Click Wireless > Wireless Security in the main menu, change the Wireless Password to whatever you wish and click Save. This makes it easier to enter your password when connecting your devices to the wi-fi.
• The previous step will restart your router, so you'll have to wait a minute for it to restart, then reconnect to it with the new password.
• Click Wireless > Wireless Settings in the main menu, change the Wireless Network Name to whatever you wish and click Save. This makes it easier to identify your network when connecting your devices to the wi-fi.
• The previous step will restart your router, so you'll have to wait a minute for it to restart, then reconnect to it with the new name.

Now you should be all set. When you get to a gig, just connect the router's power cable and turn it on (or leave the switch in the on position), then connect your devices to the wi-fi (or configure them to remember the network so they connect automatically). Then you can start up the live sharing features in BandHelper.

UPDATE April 2025

It looks like the recommended router above is now discontinued, and starting prices for routers have increased. But for $40, this portable version looks nice:

https://www.amazon.com/TP-Link-Wireless-Travel-Router-TL-WR902AC/dp/B01N5RCZQH/

Or you can get the older generation while it lasts, currently priced at $30:

https://www.amazon.com/TP-Link-Wireless-Portable-Travel-Router/dp/B00TQEX8BO/

I haven't personally tested these, but since they're the same brand, the setup instructions should be similar.

Thanks for the test and clear explanation!  Handy to have for only $20.

From the gist of this I assume ( a bad thing) that I'll have to have a router at a gig so all the band members can see the set lists etc. on their devices. ?

You need wi-fi access at a gig only if you want to transmit song selections or screen images between your devices while you perform. That's called live sharing:

http://www.bandhelper.com/tutorials/linking_devices.html

If you just want to have the same data on all your devices, you can sync your devices before the gig and then you don't need any network connection at the gig.