A VPN is an acronym for Virtual Private Network. What it does is it basically puts your network into the internet, giving you access to your network that you're connected to from anywhere as long as you log-in with the credentials you set up, and you have access to Wifi or 3G/4G/LTE/Data. It depends on what kind of VPN you're looking to set up. You can have dedicated VPNs where you literally have an entire server dedicated for remote access, or you can set up a simple VPN with your computer, giving you access to your computer at home while you're away.
Alternatively, you can access a VPN on your device for secure browsing or to bypass region limitations like Pandora outside of the United States. If you set up a VPN or use a VPN originating in the US while you're in Canada, you can have Pandora think that you're in the US where in fact you're in Canada or somewhere else on the map.
If you want to start simple, I would recommend researching a bit more on VPN, how they work, then looking into HotSpot Shield.