In fact, you use a VPN to connect to a server A abroad. All requests from your computer will be sent to this server A. This server A will then forward your requests to blocked websites abroad. The response content will be sent first. Return to A, and then return to you from A. With this extra layer in the middle, as long as server A is not blocked, you can access blocked foreign websites.

If you want to build your own VPN, just buy a server from abroad. However, before buying, you need to make sure that the server can be quickly accessed in China.

It’s easiest to understand with an example.
Xiao Ming is a mainland user, and Xiao Ming wants to log in to GOOGLE.
Xiao Ming cannot access GOOGLE directly through the Internet, and the GFW wall is down.
But Xiao Ming purchased a US VPN, and GFW did not block this VPN, so Xiao Ming connected to the VPN. After the connection was successful, Xiao Ming’s path to access GOOGLE became
Xiao Ming->VPN->GOOGLE. At this time, it is direct access from the VPN. GOOGLE, so Xiao Ming can circumvent the wall.
To build your own VPN to circumvent the firewall, you need to purchase a host outside of mainland China.