Although the Sony PlayStation 3 (PS3) does not support VPNs natively, it does allow you to configure a proxy server.
Therefore, you have two options, either you setup a proxy server on your computer and point the PS3 at that, or you can configure your router to connect to the VPN and then connect the PS3 to the router.
If you wish to setup the VPN on a router, please see our knowledge base article here.
If you wish to use the PS3 with a proxy server, then the following articles will guide you through the process:
Setting up a proxy server on a Windows computer
Setting up a proxy server on a Mac
Configuring a PS3 to connect to a proxy server
Please have a look through those links and if you require any further information, please send us an email to support@my-private-network.co.uk and we will do our very best to assist you.