PeerGuardian is just a list management system that takes your blocklists that you may already be using and blocks all addresses on those lists.
It also provides an interface through which you can update the lists and choose individual addresses that you wish to unblock.
It doesn't have any proxy or VPN features or anything else like that.
PeerGuardian is a dead project though. So if you're still using it, use PeerBlock instead. You can still use the same BlueTack lists you were using with PeerGuardian if you want.