Which possibilities do I have on devices without direct VPN support?

If a device's firmware (e. g. Smart TVs, Satellite receiver, Kindle and game consoles) lacks settings for a VPN configuration and possibilities to install a third-party app or a native VPN, you have the following possibilities to circumvent those limitations:

1. Internet Connection Sharing via Ethernet: You can set up your Windows Desktop PC as a gateway. Requirements are two network cards (physical ones) and, of course, a Windows operating system. One card processes the connection from the Windows PC via CyberGhost to the Internet, while the other card is used to connect to the respective devices you want to use. For a proper set up you need to know the IP address of the gateway PC (e.g. 192.168.0.2). This IP address is the gateway setting to be set in the respective device. For more detailed instructions see here.
2. Internet Connection Sharing via Wi-Fi: You can also set up your Windows Desktop PC as a gateway for Wi-Fi-capable devices. For detailed instruction please check this article.
3. Proxy Server: Connect your device to a proxy server, running on a computer located in your local network. If this computer connects to the Internet via CyberGhost VPN, your device will do so as well. For that you will have to install a proxy server like Bouncer.exe or something similar; important is to write down the IP address of the local computer running the proxy server and the port number by which the proxy communicates. On your device, e.g. Sony’s PlayStation, open now the network settings. There you activate the option ‘Proxy Server’ (if available) and enter the noted IP address and the port number. Ignore all UPnP settings, confirm your changes, and test your new connection. If it works, it should show you the Internet IP address of the CyberGhost VPN server in use.
4. VPN based router: Use a router with an alternative firmware like Tomato(USB), set up a CyberGhost connection and connect it to a modem. That way all devices connected to the router will be anonymized, while all other devices connected directly to the modem will not. See here (DD-WRT), here (TomatoUSB), or here (TomatoUSB Merlin Build) to find out how to accomplish it.