What does a VPN do and why would you need it?
The most likely reason a Touch owner would use a VPN would be to connect his or her touch to their home computer. They would do that by connecting the Touch to the Internet (at a wifi hotspot in Starbucks for example) and then activating the VPN. Once the VPN is activated, any communication between the Touch and the home computer would be secure and safe from hackers who often evesdrop on Internet traffic at wifi hotspots.
So instead of connecting to the Internet at starbucks and checking your email, revealing your email user name and password to any nearby hacker, you connect to the Internet, start the VPN, and then check your email by sending your user name and password nice and securely throught the VPN to your home computer, from where it then goes out to the Internet and gets your email.
In other words, where there is a security risk (like a public wifi connection) a VPN provides a way of securing your traffic and sending it to a place that you trust (like your home computer) from where it goes on to the Internet in the normal way
How do you set up a VPN? If you are running XP you have a VPN server built in to your operating system and you can use that one.
This is a very simplified answer but I hope it helps. I use the Touch VPN to provide a secure link from anywhere to my home machine for VNSea, so I can control my home computer securely remotely without the possibility that anyone can easily see my password.