You can use a proxy server to access the complete web features as usual.
If you are using IE, you should go to Internet Options -> Connections -> Dial-up and Private Network settings, find the dial connection and click the Settings button. From there, you will find the Proxy Settings section.
Note: It seems proxy settings from LAN Settings will not work with VPN connection.
If you are using chrome with SwitchOmega, it shuold look like this:
If you are using 360 Safe Browser, it shuold look like this:
If you are using iOS, it should look like this: