A vpn stands for Virtual Private Network. You can use those to access the internet as if you were acessing it from somewhere else. (Usually, it's used to acess your network at work (From which you can acess the internet from that point))

you can't really set up a VPN on your own. You'll need a friend with a good connection to set up a VPN for you, then you connect TO it. And you will log in as if you we're wherever he is at.

If all of this sounds like gibberish, i'd recommend against tampering too much with your network settings because you can mess those up pretty quick and have nothing working.

edit : Or use whippet's link.