this is a fine solution, and what i've used before.

it's worth pointing out that you only gain privacy for browsers and apps that _choose_ to use IE's proxy settings. your native IM client, even if it is using HTTP, may or may not use the proxy. Your remote desktop client probably isn't using HTTP so it can't use the proxy.

with VPN you just don't care, all network traffic is routed through the VPN at network-driver level.