If you use Parallels or VMware Fusion and a Mac VPN client such as VPN Tracker, you can share your VPN connection between the host Mac and the guest PC by setting the network adaptor to share the host’s Internet connection via NAT.
This connection method also has other advantages, as the VMware Fusion Release Notes explain:
“VMware Fusion’s default network connection type for new virtual machines is NAT, which will prevent the spread of viruses over the network into the virtual machine, and will only expose the virtual machine to external viruses through browser security flaws when you browse the Internet.”
The key is setting the network adaptor to shared networking (NAT) as opposed to the bridged or host-only options shown in the VMware settings screenshot below.
With this approach, network traffic from your virtual machine is routed through the existing VPN connection on the host Mac, so there’s no need to install a separate VPN client application on the guest PC.