Android supports VPN from Settings > Wireless and networks > VPN Connection. The recommended connection is PPTP, but before connecting you need a VPN server.
To create a VPN server from your Windows machine, go to Start > Run > NCPA.CPL. Access File > New Incoming Connection. Select the users who have access to the VPN and then configure the network options. Choose IPv4 and click Allow access. Go to Start > Run > cmd > ipconfig|findstr "IPv4". Use that IP address and go to VPN section on Android. Create a connection and input the IP address, PPTP protocol, username and password from PC and connect.
Note: The Windows computer needs to have a routable static IP (no 192.68.x.x, 127.0.1, 10.10.x, etc).