Hi carlol30,
It is possible to setup a VPN on your VPS server, however it is something out of the norm that our Support Department does not assist with at this time. However, as you are not bound by the limitations of shared hosting, you potentially can install this on your vps server.
If you have root access to your server and are familiar with setting up a VPN from the Linux command line, you can set up a VPN.
I hope that helps point you in the right direction. If you have any follow up questions, feel free to post a comment at the bottom of this page and we'll be more than happy to assist further.
Thanks,
- Brad