Although the Nintendo Wii does not support VPNs natively, it does allow you to configure a proxy server.
Therefore, you have two options, you can either set up a proxy server on your computer and point the Wii at that, or you can configure your router to connect to the VPN and then connect the Wii to the router.
If you wish to set up the VPN on a router, please see our knowledge base article here.
If you wish to use the Wii 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 Wii to connect to a proxy server
Please have a look through those articles 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.