Have a look around as this is a fairly common forum discussion..
Eg in Australia.. where I am we are in the same boat as you.. but most people are using simple dns spoofing tools, rather than full scale vpn.
http://www.mactalk.com.au/28/96217-how-i-set-up-my-apple-tv-netflix-27.html
For using vpn .. it can be rather complex and it depends on the service you choose.. I strongly recommend people go with the hardware recommended.. eg strongvpn service has a fair amount of info about setting up dd-wrt router with openvpn. Although it is far from necessary to use this, if you haven't played with vpn before.. it is a heck of a lot easier to use the methods that have been successful.. but what works with one service might not be straightforward setup with another.
Some players with 3rd party firmware put the vpn into the unit.. where it should be. WD Live has this option I think but it still might not be in the JB software of the ATV.
Depending on your actual broadband setup.. vpn can also be tricky if setup behind another router.. ie Your TC might need to exist behind the vpn router along with the ATV for this to work. There are much cheaper storage options than a TC.