If you're on a Mac, it's nearly plug-and-play — I use a small menubar app called sidestep[1] that automatically tunnels over SSH, but there are also a few (Viscosity comes to mind) that work in a similar fashion with OpenVPN.
There may be similar bits available for Windows, but I haven't looked into it there in some time.
1. https://github.com/chetan51/sidestep