VPN means Virtual Private Network
A virtual private network (VPN) extends a private network across a public network, such as the Internet
It enables users to send and receive data across shared or public networks as if their computing devices were directly connected to the private network. Applications running across the VPN may therefore benefit from the functionality, security, and management of the private network.
VPNs may allow employees to securely access a corporate intranet while located outside the office. They are used to securely connect geographically separated offices of an organization, creating one cohesive network. Individual Internet users may secure their wireless transactions with a VPN, to circumvent geo-restrictions and censorship, or to connect to proxy servers for the purpose of protecting personal identity and location. However, some Internet sites block access to known VPN technology to prevent the circumvention of their geo-restrictions.
A VPN is created by establishing a virtual point-to-point connection through the use of dedicated connections, virtual tunneling protocols, or traffic encryption. A VPN available from the public Internet can provide some of the benefits of a wide area network (WAN). From a user perspective, the resources available within the private network can be accessed remotely.
If you are interested in knowing how VPN works, you might want to take a look here. And since there are more and more VPN providers out there, you might want to take a look at the differences between paid and free.
Source: Wikipedia
More information on how VPN might work for you can be found here.