Virtual Private Networks make your traffic appear as if it comes from a remote IP address. VPNs are set up at the operating system level, and the VPN connection captures the entire network connection of the device it is configured on. VPNs will capture the traffic of every single application on your computer, from your web browser to your online games to even Windows Update running in the background.
The entire process is all passed through a heavily encrypted tunnel between your computer and the remote network. This makes a VPN connection the most ideal solution for any sort of high-stakes network use where privacy or security is a concern.