Yes, that's the idea. Your internet connection disappears into a tunnel in your local area, and resurfaces in the country of whatever server you connect to. That server (in the remote country) then connects to whatever you access, on your behalf.

Also, Dan suggested using a router with "VPN" capability. I suggest you first just try it from one of your computers, and get familiar with things that way. Heck, I use something like that on my Android phone too.

Eventually, one might want to connect to, say, USA Netflix. This can be done from a computer, or from a dedicated box such as a "WDTV Live" with a built-in Netflix client. The problem is, such a box doesn't have a built-in VPN client. So it has to be routed through something else that does grok "VPN". Thus a router with "VPN" capability.

Unfortunately, most routers lack the computing horsepower to keep up with the heavy duty encryption used by a VPN, which means the throughput suffers badly. Really, REALLY, badly. So if you eventually do go that route, you'll need to research "overkill routers".. ones that chew lots of wattage to provide sufficient computing resources to do the job. Either that, or install your own low-power Linux box and let it handle it.

Cheers