A default gateway acts as an intermediate device that connects your computer to the Internet. It is located within your Internet Service Provider's premises and is typically a router such as a Cisco brand device. In addition to acting as a gateway to the Internet, it provides security features and other functionality.
The default gateway router operates by routing the packets from your network to the Internet and then back to your device(s). Generally, it is a broadband router or modem/router such as is seen with a cable Internet configuration. While its main purpose is simply to act as an intermediary device, there are other benefits to segmenting your local network from the Internet at large. This includes providing an additional level of security by concealing your local computer(s) from being visible directly over the Internet, while the router itself remains visible out of necessity. Your devices will receive their local Internet Protocol (IP) addresses from the default gateway.
A default gateway routing device generally has two network adapters, one to connect to your Local Area Network (LAN) and one to connect to the Internet through a Wide Area Network (WAN) port. These route your data from within your LAN to the Internet.