If you are able to install the OpenSSH server on Computer A and OpenSSH client on Computer B, then you can make use of an OpenSSH feature called dynamic port forwarding in simple cases. By connecting to Computer A via SSH on Computer B with dynamic port forwarding, a SOCKS proxy will be created on e.g. port 1080 in any proxy-aware program by running:
ssh -D 1080 name-or-ip-of-computer-a
This can then be used by setting localhost:1080 as a SOCKS proxy in any proxy aware programs.
For something more permanent, or if setting a proxy server is not a workable solution for the applications you want to use, you will probably want to set up a separate VPN. An easily installable option is Tailscale, which allows private users to set up their own VPNs for free, with the ability to fairly easily route traffic for specific subnets via specific machines or route all of your computer's internet traffic via another machine. These VPN connections are direct where possible, and relayed end-to-end encrypted when not, so Tailscale itself does not see any of the traffic between Computer A and Computer B.
Above all, make sure you're complying with the network security requirements of whatever VPN it is you're connecting to on Computer A!