Yes you chuffing can!? The PS3 has no native VPN software support true but what exactly is stopping you setting up your vpn with a proxy server and connecting the PS3 to that?
Outside World College / University Your Dorm
INTERNET <---------> Campus <-----------vpn----> Proxy Server <----------> PS3.
You could also set up a bridge on your computer and connect your PS3 to the vpn through the bridge. This depends on how tight/open the vpn is about it's clients.
You could also just share the internet connection your pc is getting through the vpn with the PS3.
Yes, it can be done, but some steps must be taken in order to assure it is functioning correctly. The easiest way is to use a Virtual Router on your PC and let your PS3 or PS4 connect to it wirelessly through that and let the PC act as a bridge. The PS3/PS4 does not have native VPN support, but indeed it will run it successfully. I personally use PureVPN as a paid service and to date, there have been ten people who have tried to boot me offline with lagswitching/DoS/DDoS/script kiddie attempts and NONE have been successful. One even attempted a host boot on me as I was playing and it said "Connection interrupted" for maybe five seconds and everything went back to normal and the game had barely any lag. It would have been compared to maybe tripping over your shoelace at worst. Four of those boot attempts were lagswitches and hard ones on the other players on my team. While they were jumping around and could barely move while being lagswitched, I had MAYBE a couple of barely noticable jumps when the lagswitcher targeted me and in the end, ended up kicking himself out of the lobby, possibly even offline. I'll put things in a nutshell to get this running, but the VPN provider sites have the details and specifics on setting things up.
One, you need a VPN Service Provider on the outside, PSN/Sony does not provide one to my knowledge but I've had near perfect results with PureVPN, however its not the only VPN service that works on the PS3. One should do their homework before deciding what VPN provider to choose.
Two, you need to have the appropriate services and dependencies (I'm using Windows 7 as this posts example of a VPN on a PS3) running before you even try to launch the VPN. Everything is like a chain, if one link is broken on the VPN, everything screws up for the most part.
Three, you need a wireless adapter (I'm using a wireless USB 2.0 internet adapter I got on ebay for a few bucks that works perfectly) capable of wireless hosting of a sort. If the adapter cant host, then you cant do anything more if it is a PC for the VPN and the steps stop at this point.
Four you need a virtual router, some VPN providers come with all the appropriate software bundled in the VPN software installers, on the Windows platform make sure you have full admin rights or the install wont finish correctly AND make sure to disable your AV while running the VPN to avoid blocking issues. Windows Firewall should also be reset to the default state before installing the software so that it isnt blocked when making an outbound connection. Mind you not ALL VPNs need software installers I think, but as far as I know, the good VPN providers come with the installer software.
There are DNS Manual specifics but I wont go into detail with that. It would have to be something youd ask you VPN service provider as you apply the DNS settings on the Playstation in the internet settings.
Most importantly, make SURE your PS3/PS4 is connected WIRELESSLY to the bridged wireless adapter that connects to the Virtual Router on your PC. I have it setup to where My PS3 is wirelessly connected to the virtual router on my desktop through the USB wireless internet adapter, which bridges it to the Virtual Router software my VPN provider has that I setup on my desktop computer and my desktop is hooked up via wired ethernet cable to my router.
Thats pretty much the barebones of the easy setup of a VPN on the PS3/PS4. I'm using a PS3 so the PS4 interface might be different in some way. Again, do your homework before deciding to setup a VPN and make sure you have some sort of tech knowhow. If you know nothing about computers or how netwrking or VPNs work, it might be best to have someone who knows their stuff do it for you because not only can you screw up your playstation's internet connection capabilities if you do things wrong in the Internet connection area of system settings, but you can do some damage to your PC as well by setting things up incorrectly.
The Bottom line: A VPN is only really needed if the situation calls for it, not EVERY situation requires the use of a VPN and even if you get it set up correctly you will have slowdowns on the PSN more times than not. It's just the nature of how VPNs work, so do your homework and make sure that you ABSOLUTELY need a VPN before jumping into one. Oh and the best ones with the best security features are not free. I pay about 20 bucks a month for my level of protection so make sure you can fit that into your monthly budget as well. That is just my two cents on VPNs.