This could be quite a common sense to a lot of people but I just found out today.
When you connect to your company VPN, you are going through the company gateway by default. Thus external network traffics such as the internet will be accessed through the company gateway then to your gateway/router then your machine. However, you can easily get around with the VPN gateway accessing the internet directly.
Bring up the property window of your VPN connection, double click on Internet Protocol Version 4 (or 6 depends on which one is in use), and click “Advanced” button. Untick “Use default gateway on remote network” and save.
This means even when you are connected with a VPN, you can still access your own computer using it’s own external IP address instead of the internal IP address assigned by the VPN’s DHCP server.