Zend certified PHP/Magento developer

How to use VPN while connecting an external device to a Windows PC?

I have a device (arduino). When I connect it to a router, the connection via Internet works fine, but I need to connect via VPN now. So I connected it to a PC (eth #1), and tried connecting the VPN.. and sharing Internet connection (via eth #0). It doesn’t connect to Internet or my VPN target.

Is it even possible to connect from a device -> PC -> VPN -> target PC on a VPN?
If it is, how?