Is it possible to use VPN for only one Program

You don't mention what VPN technology you use or what initiates the VPN connection. I am assuming you are initiating the VPN from your desktop system?

What I propose is that you add a second network to your desktop, and then you setup a broadband router to do create the VPN to your personal network, instead of initiating the VPN from your desktop. Then you can give control of the device that initiates the VPN to them. They can adjust the firewall policy of the VPN access device to conform with whatever rules they need.

This would allow them to control they want, but it does to a certain extent compromise your network, if cannot trust them to not allow anyone else to connect to the device creating the VPN.

If you were to use the Shrew Soft VPN client (http://shrew.net/software), you could set your profile up in such a way to only route traffic destined for your work network over the VPN. That is accomplished by un-checking "Obtain topology automatically or tunnel all" in the Policy tab for the profile. But then you have to know what networks on the other end you need to connect to and manually specify them.

This is of course is possible only if you can get the group password and related settings out of your network admin.

Furthermore, this information indicates that it is technically possible, but obviously you need to comply with your company's security policies and procedures. If they think they need to route all of your traffic through their VPN, you need to think twice about how you are using the connection (in terms of what you're looking at, what computers [at home?] you are using it on, etc.).