If you are using a machine being shared between several persons it is not advisable to open a VPN connection, because the tunnel would be accessible for all users of the computer. This is often the case in environments with thin clients. Instead of using a notebook or some other dedicated system, there is another possibility. Stephan Windmüller pointed me at the following solution. Simply install a virtualizer like VirtualBox with an operating system emulating its own network hardware. You can use a VPN tunnel from inside the virtualized OS without sharing the connection with other users on the host machine.