i have Lan proxy internet , how can i convert it to VPN internet connection in my computer?

my computer is connected to a Workgoup LAN and internet in shared in port 3128 on server and i am an client, but i have problem with some program to use this internet, for example online games or P2P programs, how can i convert (or share for myself) my internet as same as a dialup internet for use easily.
thank you very much for your answers.
i am conected to internet now , but not as same as i like , with proxy

u need to open the same port on same network computer u need administrator account and u need to log into ur router and change the settings..if u wanna see other computer folders and be connected to other computer on network u should go to network connections and click on set up a home or office network,and its better if both computer’s using xp prof and if u wanna connect using a software..then the software it self should have a setting..like aserver and client to connect to both computers in same time.goodluck

How to use our proxy with Google Chrome