Moved to Mobile Products for better support, however you may be better served going straight to Technical Support due to the fact that none of us have a Kindle to compare notes. All I can tell you is that it is most likely that you need to be in range of your home Wi-Fi point or another Wi-Fi point. VPN is merely another method of connecting to the internet usually for the purpose of hiding ones location, so probably has little bearing here. To have mobile access everywhere you'd need something that has Cellular/Mobile connectivity as well as Wi-Fi.
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You need to connect your tablet to a wireless network - it can be the one in your home, but when out of your home you are going to have to connect to someone else's wireless network - and they might charge you for that privilege.
This problem can't be solved with software - you need an agreement between the wireless network owner.
For example, if you go to McDonalds or Starbucks, they often provide free wireless networks for their customers - but if you want to use the internet while walking in the woods, you're probably going to need a tablet with a built in cellphone - like http://www.amazon.com/Kindle-Fire-4G-LTE/dp/B008GFRDL0
Of course, using the cell phone service to access the internet means you have to pay a fee to the cell service provider.
Thanks for your advice. I contacted McAfee's technical support and they mainly talked about making sure the WiFi network in the area is secure before using it. They did not talk about getting permission, I suppose because they are on the security side of things. My internet at home is provided by Virgin Media, so can I connect to Virgin Media WiFi wherever I am (providing it is secure) or does what I have paid for at home only allow me to use internet within a certain range of my house? I do not even know how to switch WiFi on and off using my Kindle device. I suppose I would need to speak to Amazon about that? My mobile phone is just for making calls. I do not access internet on it, so my main mobile source of internet would probably be a tablet.
You'd need to ask Virgin Media about the ability to access their network from outside your home - the wireless network doesn't go far - 100ft or so. If you're further away than that you need to connect to someone else's access point.
Again, this is a question for Virgin Mobile.
As to how to use an Amazon device - yes, you should ask Amazon, or look in the manual. You can probably ask Google.com with a question like "Kindle fire hdx disable wireless" - it will lead you to these instructions - Amazon.com: Customer Discussions: Fire..how to turn off wireless
I think I will definitely have to contact Virgin Media. Thank you both for taking the time to advise me on this. I have never used WiFi before and honestly knew hardly anything about it. Thanks also for the link about Amazon. I will have a look and see if it helps.