Yep, fundamentally, you are going to need to run an Cat 5 or higher ethernet cable from where the current router is located, to the router in your room, which means you need a long enough cable to do that with, and you need to verify that your current router or modem even has the necessary physical ethernet ports to do it WITH. Some cable modems allow only one connection, which most will run to a router if they need multiple connections, and then also many newer cable modems already have a dedicated wireless broadcast for your wireless devices.
If you don't currently HAVE an existing router, and are calling the cable modem the router, then you will need TWO routers in order to do what you want to do, plus the cable to run it to your room, plus the know how to run that cable through the walls and floors if necessary unless you want a cable just running throughout your house. All told, if you are here asking about this, you probably are going to need assistance in some form or another, on site. It's not going to be just buy a router and woo hoo, I have my own connection. Doesn't work that way.
The powerline adapter is the other option as Barty indicated, but you will STILL need a router after the cable modem, plus the powerline adapter (Unless it comes all in one) and as he said, if this is an old house with old wiring, the result is probably not going to be any better than the wireless connection you already have and is not going to make ANY difference no matter WHAT you do, as far as lag from the number of users online at the same time. If the lag is due to a poor signal, I'd suggest maybe a better wireless router in place of what is there now or else you'll have to use one of these other options. Either way, you probably need professional assistance if you're here asking how to do it.