I'll give you one example with respect to Hola Unblocker. Up to you to decide if this is a good or bad thing.
It hooks in to axvlc.dll, which is an ActiveX Plugin/extension used by certain versions of VLC Media Player, iTunes and others. There are many different versions of it.
It's main purpose is to enable playing flash based media with Internet Explorer. That's all well and "good",
but It can also be used as a server in IPv4 and IPv6.
A dll file is a dynamic link library with many legitimate uses. If you want to bone up on this, read the following:
https://support.microsoft.com/en-us/kb/815065
These things are deeply embedded in a computer's operating system and can be difficult to remove/replace if the need arises.
You can see for yourself most of the locations that Hola places in your system by looking at its entries in your Registry.
To do this, you need to get into the Registry, but
be very careful. Do
not change anything there unless you've backed it up first and know what you're doing.
In Windows 7, go to Start and type
regedit. When the screen comes up, make sure that "Computer" is clicked near the top, then click "Edit" (along the top line), then click "Find".
In "Find", type Hola - the searching begins. After each instance, press F3 on your keyboard to continue to the next entry, and so on.
Have "fun", but don't do anything else.
One other thing about free VPNs. Some of them leak your IP address.
BTW. The videos on the Facebook version of PFC are nowhere near as good as on its main site.