1st question:
Tell us more about what type of vpn client and protocols you are using and we might be able to give you more info.
2nd question:
Some tutorials
http://sugizo.wordpress.com/2010/02/...-dansguardian/
It has some extra stuff in this one but use google and you should be able to find what you are looking for. I used keyworks (Linux Mint install squid) to get that one
Use your package manager it looks like it has a pre build package.
3rd question:
Yes CTR+ALT (LEFT,RIGHT) Arrow Keys changes workspace
good luck