It could be down to TCP/IP settings, i.e. that your vpn connection is overriding the local default gateway settings.
If you look under Tools>Internet Options>Connection in IE what do the 'dial up and virtual private network' settings show and is anything configured under 'proxy server'?
Also you can open a command prompt (Start->run and type in command. This will open a window giving you a Dos prompt. Type in the word ipconfig and press the enter key. You will now see your IP address, subnet mask and Default Gateway address. The Default Gateway address should be that of your local router/modem. If it isn't then thats your problem.
To have a look at your local connection TCP/IP settings. Start->Connect To->Show All Connections>
Right click on local area connection, select properties and then 'Internet Protocol (TCP/IP)' under the general tab. Under properties, general tab, is it set to 'Obtain an IP address automatically'?