The VPN they installed is definitely not secure. As soon as you log into windows and connect to ANY wifi (even public) it will automatically connect you to the internal corporate network as well. Meaning, if you took that laptop to a mcdonalds you would have access to all of my companies confidential files....I was uncomfortable having that installed on my laptop (since I never take it out of the building and have no reason to ever need that).
First you only have access to whatever files you normally have access to (unless you as a user can access any file on the network which is a security issue that is outside the scope of a VPN)
Second, the VPN encrypts the traffic and runs a secure connection between yourself and the server. Someone snooping on Mcdonalds wifi would not be able to see what you are doing or read any of the files being sent back and forth between your laptop and the remote server even if they somehow intercepted them. Your laptop is actually harder to hit running a VPN than it is if you were not.