Can Comodo firewall protect me from the hacker was able to reach the router and change the dns
And spy on the network talks
Can protect my computer from spying Can find out if I do or what type
I can not buy a new service in Comodo a speech encryption
Will alert you of Comodo firewall when someone tries to spy on conversations when a change dns
How should a program on your computer protect you against an intruder gaining access to the router?
That someone can gain access to a router is a sign of something is wrong with the router/routersetting.
Comodo/a firewall/a host intrusion protection/etc is a DESKTOP (Computer) security tool. Everything that happens somewhere else is not protected.
Make sure that you understand what you are doing. Thats more important than to try to protect 150% 
Read about router security settings. Use encrypted conversation tools. That would fix a lot of your mentioned concerns.