What you’re trying to do is not possible, at least not using only one machine. Let me explain.
What you effectively want to do is have two (2) default gateways, w/ the ability to change which one is used on a per application basis. Windows and most OSes don’t work that way. You can only have ONE “active” default gateway per machine (if any others are defined, the one w/ the lowest metric wins, all others are ignored). It would be too confusing to have users configuring which network or default gateway to use from app to app. So all those decisions are made below, at the network level, and apply to ALL applications in the same way. And that includes any attempt to use a local proxy!
But all is not lost once you understand WHY you can’t do it. If you had another machine to act as the VPN client, AND that machine also established a proxy (e.g., Privoxy) for the rest of your network, then you could solve the problem. Because now you CAN choose the default gateway you want INDIRECTLY based on machine (your machine for your ISP’s gateway, the other machine for the VPN gateway).
Of course, it’s only a practical solution if you have a spare machine, and otherwise not used by someone (I doubt that person would appreciate you forcing them to use the VPN just for your benefit). But even if you don’t, you could use VirtualBox and establish that other machines as a VM (virtual machine)! I’d suggest Ubuntu/Mint or similar Linux distribution since there are no licensing issues.
Is it a bit hokey, a pain to setup? Yeah, I have to admit. But it will work, and I don’t see any way of getting around the fundamental problem that apps can NOT choose among multiple default gateways within a single machine.
I do not have an extra computer to use as my own VPN.. So I've been trying out HideMyAss. It effectively fixed the problem.
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