Per application VPN settings
In general, the network settings are global, and apply to the whole machine, including all applications.

VPNs will work great to access machines on a known network (eg: 192.168.1.x = home, 
10.1.1.x = work via VPN)

What kind of VPN is it? It's possible that the VPN has grabbed the default route, meaning that all network traffic that isn't on your local network will go via the VPN.

You can run netstat -nr in Terminal to see your routing table.

You can use sudo route change default 10.1.1.1 to change the default route to your local network's router (eg 10.1.1.1 for me) so that it will route external connections. Connections to your VPN network should still go through the VPN.

Hopefully this helps!