> Okay, so how do I encrypt it? I mean, basically, what is the securest set of methods?
That will depend on your VPN provider. They will either give you a password and it will negotiate the session up front using IPSec, PPTP or L2TP. The other way is they give you a file (ovpn for openvpn) with a preshared key and you use that. It looks like some VPN setups have their own router firmware. Not sure I would go with something like that. Some give you a package that you install on your computer and it works only on that computer.
Basically just think of it as a virtual router. That virtual router only talks to another software virtual router. If you setup the IP routing tables correctly all of your traffic will goto the local virtual router. The connection between the virtual routers is encrypted.
What is 'the best' will again depend on your provider. I swiped this from one that sells it 'For L2TP/IPSec it is AES-256. For OpenVPN – 2048 bit SSL encryption. PPTP uses MPPE-128 encryption' OpenVPN is probably the most flexible and most up to date and easy enough to say do not use older methods. It has been awhile but I think it has about 20 different methods it can use. I would defer to the VPN providers which one to pick. As that sort of thing changes pretty quickly.