A method for connecting a client device (2, A, B) comprising a relay device, and a server, said method implemented on an Internet connection system, said Internet connection system comprising said client device (2, A, B) and said server connected to an Internet network, said server being also connected with said client device (2, A, B) through said relay device and the Internet network, including the steps of: a) storing an Internet Protocol, IP, address of said server at the relay device; b) establishing a tunneling Transmission Control Protocol, TCP, session between the relay device and the server using the stored IP address of the server; c) the server determining: i) a model of the client device (2, A, B) based on an IP address assigned to the client device (2, A, B), and ii) a virtual private network group to which the client device (2, A, B) belongs based on the model of the client device (2, A, B); d) receiving from said server at a group information storage section of the relay device information about other client devices (2, A, B) belonging to the virtual private network group; e) storing the information at the group information storage section; f) capsulating/decapsulating packets communicated with the server through the tunneling TCP session, routing the decapsulated packets to a control section of the client device (2, A, B) and routing the capsulated packets, which are destined to the other client devices (2, A, B) to the server; g) the server assigning a specific virtual server within the server to the client device and the other client devices (2, A, B) belonging to the virtual private network group; h) the server routing communications between the client device (2, A, B) and the other client devices (2, A, B) for each of which a tunneling TCP session with the server is established and which belong to the virtual private network group. a) storing an Internet Protocol, IP, address of said server at the relay device; b) establishing a tunneling Transmission Control Protocol, TCP, session between the relay device and the server using the stored IP address of the server; c) the server determining: i) a model of the client device (2, A, B) based on an IP address assigned to the client device (2, A, B), and ii) a virtual private network group to which the client device (2, A, B) belongs based on the model of the client device (2, A, B); i) a model of the client device (2, A, B) based on an IP address assigned to the client device (2, A, B), and ii) a virtual private network group to which the client device (2, A, B) belongs based on the model of the client device (2, A, B); d) receiving from said server at a group information storage section of the relay device information about other client devices (2, A, B) belonging to the virtual private network group; e) storing the information at the group information storage section; f) capsulating/decapsulating packets communicated with the server through the tunneling TCP session, routing the decapsulated packets to a control section of the client device (2, A, B) and routing the capsulated packets, which are destined to the other client devices (2, A, B) to the server; g) the server assigning a specific virtual server within the server to the client device and the other client devices (2, A, B) belonging to the virtual private network group; h) the server routing communications between the client device (2, A, B) and the other client devices (2, A, B) for each of which a tunneling TCP session with the server is established and which belong to the virtual private network group.