It dosen't come up in the bridge list though, is this because I'm not using a supported vpn?
Go to connection and sharing center > Setup a new connection or network > Connect to a workplace > Use My Internet Connection (1st Option). Now put the ip / url your vpn service gives you. Here's examples of what they might look like.. premiumvpn.us, us.vpnshield.net, 192.168.2.255, etc. Make sure to check "Don't connect now" box.
Not sure if CyberGhost has that, since you're using it free might as well switch to a free one that does have it.
After you do that, a log in page will come up. Type in your user name and password to the/your Vpn account.
Then you're basically done, you'll just need to go to the Vpn properties in adapter settings and check "Allow other networks to connect to this internet connection" and select your PS3 which is prob "Local Area Connection 2/3".
As for the vpn's you should use, I'd recommend ones that support PPTP and L2TP as you need their host names to setup this. Google can help you find one.