Some websites and servers are secured by a firewall that only allows connections from on campus. To access these restricted resources from off campus, you will need a VPN connection. Most students don't require access to systems that aren't available from off campus, so a VPN connection is only needed by students when connecting to their CSE home directory through the SAMBA (smb:) network protocol. A VPN connection is used to make files stored on remote systems appear as local files from the perspective of your local (PC/Mac/Linux) system. This local perspective is necessary for local applications to access the remote files.
Information Technology Services now operates a VPN service for faculty, staff and students. More information about their service is available at https://services.unl.edu/service/virtual-private-network-vpn-global-protect.