I want to run a vpn server on my rig.

First of all, how does your customer or final destination of those files secure their transfer? That is, out of the traveling situation, how do you transfer the files? Is that tranfer secure and encrypted?

Then, how do you plan to work when traveling? Copy the files to your home computer and then transfer from there?

A possible solution could be to setup a SSH server at that home computer. That's a very secure, encrypted protocol that may fit your purpose. It allows file transference though SFTP, port forwarding for a small VPN-like access and remote command line execution on the server. It also has authentication features that allows to know that you're connecting to the right computer too. You can use it for encrypted file transference or to connect remotely to any service running there.
Windows doesn't come with anything like this but there are a number of third party programs (some open source, others free and others paid) that you can use for this.

Note that for all this to work you need to be able to do port forwarding on your router and the ISP must allow for it (some don't like users to run servers on their connections).

computergeekguy said:

Hotel connections to my knowledge use a common password that every one uses or are unsecured altogether (meaning you just connect). So unless I encrypt the connection we are to assume there is no security.

Yes, that's the safest assumption, that there is no security at all. Not due to passwords, but because the connection is both open and controlled by people you can't trust really, the hotel becomes the ISP and as such as the capability to see every and each transfered data, as well as other guests connecting that can try to spy on your computer too. For extra security I would suggest to firewall all incoming connections too.
Encryption mitigates that problems, so that they can only spy encrypted data.

computergeekguy said:

FTP would work just fine I think. I will do some research into SSH server.

So it's just file copying? That's easy to do and SSH, though SFTP, will do it fine. Do not confuse with plain FTP or FTPS which fullfil very similar objetives in a radically different way.
Many standard FTP clients can connect there, like Filezilla client or WinSCP.

computergeekguy said:

As for port forwarding I am pretty sure I can do that. It is like opening a port for a torrent program yes?

Yes, exactly the same, you just open TCP port 22 on your home router and computer firewall and connect to your public IP. Note that if your ISP gives dynamic external IP you'll also need to have some dynamic DNS service in place, so that you know what your IP is.

computergeekguy said:

Is there a list of such free 3rd party programs?

I would start with Wikipedia, it contains a comprensive list of servers and some data about them: Comparison of SSH servers - Wikipedia, the free encyclopedia

I personally have tried 2 of them. FreeSSHd (freeSSHd and freeFTPd - open source SSH and SFTP servers for Windows) which is a open source server, it's small and simple to use and configure, seems to be a nice option to begin with at least to try.
Bitvise SSH Server (https://www.bitvise.com/ssh-server) is a much more complex one, proprietary, free for personal and paid for professional use but it includes a much more serious configuration section and a lot of options. I'm using it right now in my house and happy with it so far.