A family member is now working in one of the Arabian emirates. He is a regular at RAI's website but unfortunately this seems to be blocked by the powers-that-be. I thought I could set up a VPN (using Himachi) to enable him to do this or give him instructions on setting up a connection to a free proxy either hosted in Europe or on a server in my house. I would appreciate it if anyone could advise me on which method to use. Security is a consideration but also, for reasons which are almost certainly obvious, I don't want him to be breaking any laws in said Islamic state ...
There are many options that could be used. One option if you are in a less restricted country would be to host a VPN yourself. Alternatively, as you've said, there are numerous VPN services set up for exactly this reason. The paid ones will generally have much better performance.
The point of a VPN in this case would be to set up an encrypted tunnel between your family members PC and a remote host in a less restricted nation. Then, as long as the two hosts are secure, there can be no eavesdropping on any data exchanged between the two VPN end points.
Hamachi is a fairly straight-forwards VPN that is relatively easy to set up from the instructions on the web site.
Having said all that - it is vital that you or your family member carefully check both the laws of the said country and the terms and conditions of the Internet Service Provider. Either of these might explicitly ban the use of a VPN - especially for this purpose.