The HMA! Pro feature that allows that is easy to get to, easy to set, worked flawlessly, but confused both Firefox and Outlook enough that I had to restart each at least once per day.
Mind you, that's a lot less often than most VPN apps I've used have caused, but it was still annoying.
Despite advertising that says it operates at "GigaBit server speeds," I found performance slow, especially on high-traffic sites and during busy times of the day.
HMA!Pro is pricey for the category, however, at $11.52 per month, or $78.66 for a year.
Less expensive and less embarrassing to type into an address bar is proXPN, which offers very little information on its site about what, specifically it is, or what it does, except in the broadest, most consumer-friendly, geek-annoying, non-specific language.
The site also takes its time about explaining whether it's a paid app or a free one.
For free you get 2,048-bit encryption, the app for Windows or Mac (or instructions to use it on an iPhone), and bandwidth equivalent to 100Kbit/sec, at least according to the site. YMMV.
For $5 per month or $45 per year, you get unlimited-bandwidth-connections to the proXPN servers (which means the best bandwidth you can get between you and their servers, and a gigabit/second from each of their servers to the rest of where you want to go; the same as HMA!Pro).
You don't get the choice of servers, though. All proXPN proxy servers are in the U.S., which helps avoid copy protection problems if you're trying to watch U.S.-based TV online, but doesn't. Not having a choice of server seems lame, though.
proXPN caused the same Outlook and Firefox network stoppages as HMA!Pro, but didn't force me to restart the OS to fix them.
If you launch the VPN while Outlook and Firefox are already running, they get confused when the machine they live on suddenly switches IP addresses.
Of the three, only HotSpot Shield didn't freak out my browsers. Its ad-supported business model didn't make me feel more secure for using it, though, especially because the point was to find ways to use Internet connections without being spied upon by either hackers or advertisers.
Balancing cost and function, of the three, proXPN would be my choice. It's not free, but for $5 per month it's more confidence-inducing that HotSpot Shield and moderately less troublesome than HMA!Pro.