What game? It's easier for one of you to run a dedicated server, port forward the required ports, and then both connect to it. Put a password on it if you want to keep things to yourself.
Really no need for VPN unless you're using illegal copies of games (you mention Steam so I'm assuming not), or if the game has no way to host on the Internet.
There's also this VPN software:
LAN Bridger - Click. Click. You're connected.