Configure VPN as a 'Proxy'

[denon]

I have:
- a dedicated server (OVH / Ubuntu 14.04 LTS 64bits)
- a home computer ( Kubuntu 14.04 LTS 32 bits)

On my dedicated server, some of my applications need to use a proxy (IP of another country).
From my computer, I need to connect to some sites with the same proxy.

Is it possible to use a rented VPN (HideMyAss for example, appears to be a reference) and to have the same "configuration"/flexibility?

I quickly tested SecurityKISS (free VPN provider) on my home computer, but when I active OpenVPN, all traffic is directed to the VPN.

This isn't what I want. I wish I could choose which application to use the VPN and when the VPN access is not available (or unstable) the connection is refused (as a proxy )

I haven't found tutorial on the Internet about this case.There are many tutorials but all speak of a configuration server / client, but, with the rental of a VPN there is no possible server configuration, only client configuration.

[Traffic]

Generally, VPN service providers redirect your client default gateway which sends all your client data over the VPN. It is possible that you can setup policy based routing with iptables to route specific sites via a different route, that of the other proxy.