It all depends on the VPN setup! Microsofts default setting is to use the gateway on the remote. That can be changed to use the LOCAL gateway which will then put all internet traffic from your computer through your connection and not through the VPN. If you are using VPN software which your company supplied and not using Microsofts VPN connection then you will need to check the software to see what settings are available to you.
(to set the gateway, if it is MS and WinXP - click on Network Connections, right click on the VPN connector, click properties, when that screen appears, click on Networking tab, then click on the TCP/IP settings. That will bring up the TCP/IP settings for the VPN, click on the Advanced Tab at the bottom. You will find a check box which will show -'Use Default Gateway on Remote Network' if you uncheck that - you will use your local gateway!)
Many network admins lock the system so that you have to route all traffic through the VPN.
So the answer is, with standard settings, all traffic is directed through the VPN thus your companies system.
It may be possible to change that but it all depends on the software in use and your access to the settings of the VPN connection.
ADD:
Since you now tell us you use CheckPoint.. you will indeed use the REMOTE gateway so ALL of your internet traffic will be directed through the company VPN as long as that connection is active. I suggest you don't go anywhere you shouldn't while connected! It is all at the system administrators option but most will indeed force that selection. Its the secure safe method for the VPN to run.