Windows 8 has built-in features that you can easly setup for Proxy and Vpn.

OpenVPN

Security:   
Speed:       
Overall:     

Requires installation app

Learn more

IKEv2

Security:   
Speed:           
Overall:     

No installation required

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IPSec L2TP

Security:   
Speed:       
Overall:     

No installation required

Learn more

Native Proxy

Security:           
Speed:       
Overall:         

SSL-Bump Proxy supported

Learn more

Firefox Proxy

Security:           
Speed:       
Overall:         

Requires installation app

Learn more