I want to set up a VPN on a remote server to route all my Internet traffic for privacy reasons. I can set up an incoming connection and connect to it successfully. The problem is, I can just see the remote computer and no other Web sites will open. I want the remote server to act like a NAT. How can I do that?

Note that I don't want to split Internet traffic. I actually want to send all the traffic to the remote server but need to make it relay the traffic.

For the record, my remote server is Windows Web Server 2008 which does not have routing and remote access service.

Clarification

I'm mostly interested in server configuration. I don't have any problems configuring the client. By the way, Windows Web Server 2008 seems to have the same VPN features built in client OSes (like Vista) and specifically, it doesn't include the RRAS console in MMC. I'm also open to suggestions regarding third party PPTP/L2TP daemons available, if they are free.