How can I exclude streaming video from going through my VPN?

Elieazer watches TWiT through a Virtual Private Network. How can he configure his browser so that some things will go through the VPN, and other things won't? Leo says that VPNs slow things down because it routes the traffic through a VPN server. Elieazer uses ProXPN, which is a sponsor of the show. Leo doesn't think he can just choose which apps will go through the VPN, but it does make it easier to turn the whole VPN on and off.