THIS WORKS, I TESTED IT. It will also affect EVERY connection and just destinations to one IP address
Change your default gateway on your PC to be the private IP address of the VPN server. Now you need to know the public IP address of the VPN server you connect to and modify your routing table. Hard to explain without an example so here it is.
Your local IP range is 192.168.1.x and your default gateway (router) is 192.168.1.254.
When you connect to the VPN server you connect on 203.0.113.10 (public IP). Once connected it assigns you an IP of 192.168.3.65 and changes your default gateway to the VPN servers private IP of 192.168.3.1 (this change means all internet traffic is now routed through the VPN server). This gives us the information needed to configure your PC now how you want to. Disconnect the VPN.
Now edit your TCP/IP settings and change the default gateway to 192.168.3.1 (so all internet traffic is routed through the VPN server). All internet traffic will now fail unless the VPN is up. Now open a command prompt and type the following:
route add 203.0.113.10 mask 255.255.255.255 192.168.1.254 metric 1 -p
This add a static route to your windows PC which will override the default gateway only when you try to connect to 203.0.113.10 (your VPN server). When it matches this entry it will go out your router (192.168.1.254) onto the internet normally. This one rule will allow the VPN to be established then all other traffic will go across the VPN.
Note: when setting the default gateway you will get a warning about it being on a different subnet, just accept it and contine.
I have never done this so i can't say it will definitly work but I know a lot about routing and from the "rules" of routing this should work for you. If it does please up vote this answer as it is actually quite difficult to work this out and I doubt you will find this solution anywhere else.
EDIT: I tested this when I got home and I was right, it can be done this way ;-)