In more detail
Companies use VPNs to give staff secure access to internal systems. Consumer VPNs route your traffic through their servers, which hides it from your local network and shows websites the VPN's address instead of yours. Common protocols are WireGuard, IPsec and OpenVPN. A full tunnel sends all traffic through the VPN; a split tunnel sends only traffic for chosen networks and lets the rest go out directly.
Why it matters
A VPN does not make you anonymous: the provider can see your traffic, and sites can still identify you by logins and cookies. If DNS queries bypass the tunnel (a DNS leak), your local network still sees which sites you visit. The extra hop and encryption headers add latency and reduce the usable packet size, and many services block known VPN address ranges.
Example
A WireGuard client configuration:
[Interface]
PrivateKey = <client private key>
Address = 10.8.0.2/32
DNS = 10.8.0.1
[Peer]
PublicKey = <server public key>
Endpoint = vpn.example.com:51820
AllowedIPs = 0.0.0.0/0, ::/0
AllowedIPs = 0.0.0.0/0, ::/0 makes it a full tunnel; listing only an office range such as 192.0.2.0/24 makes it a split tunnel.
Common confusion
A Proxy usually relays one application's traffic and may not encrypt it; a VPN carries all of the device's traffic through an encrypted tunnel.