You don't need to setup your own router, you just need to contact the network's tech support and have them manually add your device via MAC address.
Large chain hotels use companies like Innflux to deliver HSIA and manage their networks. Typically, these companies will allow you to connect your device to their network, but you must go through them directly. You simply need to contact their customer service number, and give them the hexadecimal MAC address for the piece of hardware you're trying to connect.
The MAC address is a unique, factory-set identifier and it's usually printed on the bottom of the hardware or on the box it came in. It looks something like
AC:3A:6B:BE:B7:C1. If the device has a user interface, you can often get it from a network settings area.
The network technical support phone number is often printed on a card explaining internet access around a guest room's desk. Otherwise, ask a staff member at the front desk for it.
If your device connects to their Wifi network, but doesn't have internet access, you can also copy down the assigned IP address to give to them if you don't know the MAC address.
These companies setup network architecture and use techniques like port isolation to increase wireless network security for their clients. Port isolation prevents connected devices from communicating with each other, and anyone but the network administrator from setting up a LAN within their network.