lists all the free places you can get a wireless connection.
What rabiznick is describing is a "Virtual Private Network". VPN's are normally used by people connecting to their business remotely over the internet. Basically, a tunnel is created between your PC and the network at your business, and all data going back and forth is encrypted.
It is interesting, and would be beneficial to use a VPN when connecting to a hotspot. However, it would only protect the traffic going back and forth over the network. It would not protect any shares on your PC, or prevent other people on the same network attempting to access your PC.
I am a great proponent of free wireless hotspots, and use them often.