w3m or any commandline browser with vpn

Hi,

I am using w3m and it works awesome and superfast. However I want to know how use vpn or any other methods so that I can browse the same way with vpn?

I tried using open vpn configuration. The problem is the whole Cloud virtual machine gets disconnected from rdp, once the openvpn is connected.
I am looking for some solution similar to what we use with browser vpn.