As gbb0330 says, a third party server will be useless since it's not on your home network.
If you know nothing about VPNs, I
highly highly recommend you get one of the newer Asus or Netgear routers. They have a VPN server built-in, and it's fairly painless to get it up and running. About the only drawback is that they only support a static key (at least the firmware on mine does). Certificates are more flexible (you can give multiple devices different keys, and revoke one without having to assign other devices new keys).
If you really want to set up your own VPN server, install Linux on a PC and run the following in a command prompt:
wget
https://git.io/vpn -O openvpn-install.sh && bash openvpn-install.sh
If it works, that'll install OpenVPN and hopefully run a script which auto-configs everything. You will need to install an OpenVPN client on your laptop (usually it's a laptop, though you can run it on an off-site desktop to make it "part" of your home network). Copy the .ovpn file created by the above script to your laptop's OpenVPN folder, and cross your fingers. Do note that the script defaults to the virtual network adapter being set to tun. You will most likely need to change it to tap to get Windows filesharing working.
Edit: You'll also need to forward your VPN port on your router to the server.
If you go this route, you should at some point take the time to read up on exactly how the VPN works and especially key management. It is very easy to completely blow any security provided by your VPN by copying the wrong keys to your laptop or a USB drive, then losing it. The routers run Linux under the hood, but "logging in" to them is a lot harder so you're less likely to lose the private key from a router's VPN.