A virtual private network (VPN) is a network that uses primarily public telecommunication infrastructure, such as the Internet, to provide remote offices or travelling users access to a central organizational network. Questions about configuring or using a VPN should be asked on Super User or Server Fault.
Virtual private networks encapsulate data transfers using a secure cryptographic method between two or more networked devices (which are not on the same private network) to keep the transferred data private from other devices on the wide area networks. (adapted from Wikipedia)
Although VPNs are private, they still use public resources. This means that all data sent over the network needs to be encrypted encase it is intercepted during the transfer.
Please keep in mind that questions about how to set up or use VPN software do not involve programming, and are therefore off-topic for this site. You may want to try posting these questions on Server Fault instead.