I hadn't heard of any built-in VPN. You have to install it. OpenVPN would be your best option for that.
If you are just wanting to tunnel web traffic and e-mail, then you can use an SSH connection as a SOCKS proxy. If you're using Firefox, network.proxy.socks_remote_dns must be set to 'true'. Same for other browsers and mail clients.
For that make an SSH connection to your server with dynamic port forwarding:
Code:
ssh -Nf -l user -D 9341 server.example.org
Then point your web browser, mail client or whatever at localhost and port 9341.
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