A system and method for transferring media over a VPN connection are provided. The method includes receiving a first request for connection to a first target at a VPN server from a user device, upon which a domain name of the first target is resolved at the VPN server. A session identification (ID) string for the first request is generated, and the first request and the session ID string are sent from the VPN server to a proxy media server (PMS). A second request for connection to the first target or to a second target, different from the first target is received at the VPN server. The session ID string for the second request is determined or assigned or both, and the second request and the session ID string are sent from the VPN server to the PMS.