How to set up simple VPN for secure Internet connections over unencrypted Wi-Fi?

"I had the same dilemma and I ended up just learning how to set up OpenVPN. It's actually quite simple once you dig in. You're right, the documentation can be a bit obtuse. Below is the howto I referred to when I set it up for the first time. Afterwards, I was able to set it up by hand without a howto on a CentOS server.

This one is for Debian, but it's pretty similar:
http://howto.landure.fr/gnu-linux/debian-4-0-etch-en/install-and-setup-openvpn-on-debian-4-0-etch"

SSH port forwarding might be suitable. The software setup is simpler, works through both Windows and Linux clients, and such. However, you'll need to forward each port you use.

"Setup VPN Connection on Wifi is not very easy, nor it very difficult. Its doable, if you follow the procedure that I am about to explain below. Following are things that you will need to make a VPN WiFi Combo

A Laptop with Windows 7
An Internet Connection
And a lil bit of mind

Now in order to share your VPN connection on WiFi, you first need to make your laptop like WiFi Router that shares VPN. Lets learn that step by step.

Click on your computers start button and in the search box type “cmd” and wait for it to appear on the menu.
After it appears, right click on it and select “Run As Administrator”.
When the Black Command Prompt Opens up, type the following command and press enter
netsh wlan show drivers
You will see something like the following image. If the Hosted Network Supported (in the red square. say Yes, it means the driver is installed and if it says No, download the drivers from 32Bit or 64Bit.
Once it is made sure that you have the required driver, it`s time to set it up.
Type netsh wlan set hostednetwork mode=allow ssid=test key=password. Following Screen would appear. (Devices will detect network SSID as “test” change it to anything you want. Moreover, key is your password which in this case is password, change it to whatever you want, I would suggest you to not to use numbers in password.
Then type, netsh wlan start hostednetwork. You will see the messages illustrated in the snap shot.
If you see the message that the hosted network couldnt be started`, then your WiFi driver is outdated, the best way to update the WiFi driver is Run you Windows Update or download the latest version from its official website.
Now that we have setup hosted network, we will make sure that it is shared on public Wi-Fi.
To do this, click on your Wi-Fi signal buttons on the bottom right hand corner of your screen.
Click on Open Network and Sharing Center.
Then click on Change adapter settings.
Click on the Connection that has description of Your Created VPN Connection and right click on the Icon to go to its properties.
In Properties, go to Sharing tab and check on Allow Other Network User to connect through this computer…
From the drop down menu of Home Networking Connection, Select the connection which had a description of Microsoft Virtual WiFi Miniport Adapter/Virtula AP or it can be Wireless Network Connection 2 as in my case.
Check on the Allow other network users to control or disable…. Option as well.
Click ok and you are all set to go now.
Connect your VPN and ask your Friends or Colleague to discover your VPN enabled WiFi Connection.
Now, whenever you will restart your computer, your Shared WiFi connection will be disabled. You will have to reenter only the following command in the command prompt to enable it again.
netsh wlan start hostednetwork (or create a custom batch file for this, if you want to avoid reentering the command every time."