A VPN client handles the security and encryption portion of the VPN definition. It is a software application that you must install and start if you want to use it. (It doesn't automatically start up or run in the background when you connect to the Internet.)
When is VPN necessary?
Anywhere confidential information is transported across a computer network it needs to be protected from public access. Institutions like Duke use several methods to secure confidential information, including firewalls, authentication, data encryption, etc. Unfortunately, some of these security technologies prevent authorized computer users from accessing the data they need if they are outside of the Duke network (for example, at home or while travelling). A VPN helps solve remote access issues while keeping confidential data secure as it is transferred across a public network.
It has nothing to do with spying on you!