If you use a Microsoft VPN to a location A, let's say work, by default, all of your traffic, including the Internet will go to work, and then out their gateway (router/firewall). The Routing and Remote Access (RRAS) service on the other end can also limit where you go, but most times, it is not configured.
You can go into the settings for your VPN connection, and I do recommend you at least try this, and click on Properties>Networking tab>Double click Internet Protocol Version 4 (TCP/IPv4)>Advanced and uncheck "Use default gateway on remote server". What this will do is keep your Internet traffic going out your usually faster local Internet connection, and only the network traffic intended for work, going to work. The only caveat is that if you have multiple subnets at work, and you try to get to a remote subnet (not the one you VPN'ed into), you will have to re-enable that "Use default gateway on remote server" box.
Other VPN software will work differently, and varies by manufacturer.