Networking & wireless forum: Regarding AnchorFree's Hotspot Shield

A few questions...

Alright here's the backstory: I live on a college campus and I recently downloaded a three day trial to a game by the name of Tabula Rasa. Okay, after installing, updating, and getting past the NCsoft Player thing, I got to the log-in screen and was able to log in. It then proceeded to take me to the Server selection screen where I chose a server and hit the confirmation button. Well a screen comes up saying it's sending a server request and it stays there for quite a while. So I restart the software and try it again getting the same response. I restart the comp and I get the same thing.

Okay, so I decided to check some forums regarding the error and I found out that it could be my college's security network. I continued to search the forums and someone mentioned a software by the name of Hotspot Shield so I decided to check it out.

I download it, run it, and then run Tabula Rasa. I get to the server select screen, choose a server and I'm able to connect and play!

Feeling a little guilty, thinking this may be illegal and wrong, I'm kind of anxious to use it considering the ports the game uses are blocked( I guess, I don't know much about networking ).

So, here's my question: What exactly does Hotspot shield do? What is a VPN? Is what I'm doing illegal? How am I able to do this? If you could help me out, please do so =D