It's a bit involved but the first thing you'll want to do is be sure that this is not against the rules for whatever VPN host you're connecting to. If it's your employer it's likely that they have a policy against this and I wouldn't want to give you information that might get you in hot water.
With that said, the first step is to get a picture of your routing table before and after connection to the VPN.
You can do that using the command: netstat -rn
You can use those 2 tables to compare the routing table with and without VPN. What's probably happening is that a default route is being created that routes all of your traffic to the next hop on the other side of the VPN tunnel. You can then delete or adjust that route and or the metrics to route traffic in the desired flow.
There's some good information on OSX routing here and here
I would give more info but I'm @ work right now and cannot type the required novel to give a detailed how-to. If this isn't enough to get you started pm me and I will respond accordingly (updating answer if need be).