Let's talk about VPN's again.
A VPN (Virtual Private Network) is basically a piece of software you install on your computer. Every time you access the Internet your request is encrypted and routed through a shared computer server then routed to the site/sever you requested. The response is sent back to the VPN server then returned to you and decrypted and displayed in your browser. A similar thing happens when using your favorite email, game, music, video software, voice search etc.
So you are sort of anonymously browsing the Internet via a server shared by many people. It helps cut down on you being individually identified via your device's unique IP (Internet Protocol) address. Every device has an IP. There are billions of unique IP addresses. So the VPN is swapping out your IP with one one of theirs.
A big benefit however is the encryption part. Setting in a McDonalds and using their free WIFI? There is an increased chance someone is intercepting your business. Yes there is basic encryption when you access a site that starts with https:/ but not via http:/. You may not care but it is quite easy for a hacker to sit near you at McDonalds and read your posts going to http:/cheaperliving.com/forums.
There are some free VPN's but you get what you pay for. I like ExpressVPN (I'm just a customer). With a subscription they have an app to install on your computer, phone, kindle, xbox, whatever.
Cookies! These little good but potentially evil bits of data help your stateless interaction with a site be non-stateless (is their a real word for this?). They help the site remember you are logged in or what page you are on etc. They can also be used to track you accross the Internet. Go to one search site they record a database entry that you just searched for Viagra. They then drop a cookie that uniquely identifies you/device. Go to another site they pull this cookie look you up in the database and give you erectile disfuction ads (these are called Trackers).
It's a battle but their are other tools you can install to help if you care.
These two are browser extensions.
Ghostery (ghoster.com) - Blocks ads, stops trackers, perhaps speeds up searches.
uBlock Orgin (not just uBlock) - add blocker etc.
CCleaner (ccleaner.com) deletes tracking cookies, old browsing files, etc.
By the way many people think that one of the next big potential bubbles is online advertising. Maybe those ads you see just don't work very well. When was the last time you clicked on one? Ebay thought that for every dollar they spent on paid ads they were making $1.50. They did a study and found they were actually losing $0.60.
Be safe.