Create your own HotSpot Shield?

[spt60]

ok you may know about this software Hotspot Shield at http://anchorfree.com/downloads/hotspot-shield/
however this software only allow 10G of traffic per month. But that's not the point, which is in the description, it stated: "creates a virtual private network (VPN) between your laptop and the wireless router". I wonder if you can do that urself with a regular VPN/VNC software?