A virtual private network (VPN) extends a private network across a public network, such as the Internet. It enables a computer or network-enabled device to send and receive data across shared or public networks as if it were directly connected to the private network, while benefiting from the functionality, security and management policies of the private network. A VPN is created by establishing a virtual point-to-point connection through the use of dedicated connections, virtual tunneling protocols, or traffic encryptions. Major implementations of VPNs include OpenVPN and IPsec.
Read more about VPN tunneling here: http://en.wikipedia.org/wiki/Virtual_private_network

Here are a few good webistes that list free VPNs along with relevant information to help you decide which to use: