How can I set up a VPN?

I have been using hotspot shield to trick hulu and pandora into thinking I'm in America when I am in the UK. I have a home with internet in both London and New York and want to set up a VPN to get my own personal version of hotspot sheild (with faster speeds) in the UK. How might I set up a connection that will allow me to channel my internet in the UK to America then to the servers?