Dedicated virtual server + VPN server

[Rotating Rabbit]

I'm a UK citizen travelling around the world with a laptop and I'm trying to set up my own dedicated server with VPN calpability (mainly because its more secure when im in wireless areas and also in some countries of course the sites dont allow). I am a newbie but I've read pretty much everything on this forum via searches and was hoping someone could confirm if what I intend to do below will work:

1) Rent (for around $80/month) a dedicated server in the UK with own IP to use as a proxy.
2) Ask the guys selling it to install a vpn server on it (this is the bit im most unsure of, presumably i'll have to configure this to allow connections with my authentication but ive no idea how to do this yet).
3) Get vpn client software (which?, windows?)
4) Connect my computer to it using the VPN stuff
5) Get&Configure Zone alarm pro to disallow all traffic that isnt either TO or FROM the VPN in case of connection failiure to stop programs scoring an own goal by trying to reconnect normally
6) Enjoy!

Am I on the right lines?

[psionic storm]

something like that.

btw, 'unmanaged' dedicated servers means they're not helping you with any setup.