Without knowing what VPN client you're using, this is a generic answer. Many VPN clients have an option (often buried behind an "Advanced..." button) to turn to use the default gateway on the remote network. You want to turn that off if possible.
For Windows 7 built-in client, you need to go to the VPN's properties, the network tab, select IP4 and hit Properties. Click "Advanced..." then uncheck the "use default gateway" box. XP and Vista are actually similar.