Install and activate CyberGhost VPN on your Windows PC. Choose the server to be used. If you don't know, how to install and use CyberGhost on Windows, please refer to our instructions here.
The Windows' 'Internet Connection Sharing' function (ICS) allows to use the encrypted VPN connection established in step 1 with different devices in your local network. For that you need to connect the respective device, in this case your Xbox console, to your Windows PC using an Ethernet cable.
Please note that your PC needs to have two network cards, one for a connection to your router (to the Internet) and one for the connection to your game console. Alternatively you can use a wireless LAN, either from your PC to the router or from the console to your PC (or both). However, if you need to share a wireless Internet connection, more steps are necessary and it’s a bit more complicated to realize. Please refer to this article to share a wireless Internet connection under Windows 10.
The first settings have to be made on the host computer, that is the Windows PC, which encrypted Internet connection should be used by the Xbox:
Start CyberGhost VPN, choose the profile you want to use and establish the VPN connection. Once done, open the Start menu, type 'Control Panel' and switch to the ‚Network and Sharing Center‘.
Click on ‚Change adapter settings‘ (on older Windows versions ‚Show Network Connections‘).
Search for an Ethernet connection related to the ‚TAP-Windows Adapter V9‘. Click on it with your right mouse button and choose the entry ‚Properties‘.
Activate the tab ‚Sharing‘ and then the option ‚Allow other network users [...]‘. Also choose the fitting ‚Home Network Connection‘ from the drop down list, usually the second physical network card or a WLAN stick.
Click on 'OK‘.
Double click on the adapter representing the Ethernet (or Wi-Fi) connection that goes to your router, click on 'Details' and note down the network IPv4 address, usually something such as '192.168.xxx.xxx'.
Close all windows, connect your Xbox to your Windows PC and configure the console:
The options to be set can be found in menu entries like ‚Network‘ and ‚Internet‘. So first open your 'Settings' menu and switch to 'System'.
Open 'Network Settings' and choose, if you either want to set up a cable connection or a Wi-Fi connection. In case of an Ethernet connection all settings will be adjusted automatically, in case of a Wi-Fi connection you additionally need to enter the correct password set for the wireless network of the Windows PC.
If you use a Wi-Fi connection from your Xbox to your Windows PC AND from your Windows PC to your router, make double sure you don't accidently connect the Xbox directly to the router.
Please also note that older versions of your game console might only have an Ethernet port and therefor need a WiFi hardware add on in order to establish a wireless connection.
Now open 'Configure network' and tap 'A' on your controller. In the next window you can change your IP settings. Do so by switching to 'Manually'.
Enter an IP address. This address must be unique in your network. In case you don't know how many devices you run and which IP addresses already are in use, open your router's web interface and check on all addresses. The address for the Xbox will look similar to something like 192.168.xxx.xxx.
Enter the subnet mask, usually 255.255.255.0, which should also be the subnet mask of your gateway.
At last enter the gateway address, which is the noted IP address of your Windows PC with the running CyberGhost connection.