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Hi; Supposing we have opened a connection of type either TCP or UDP to another remote machine. Having this connection, can we allow multiple connections virtually over this connection like VPN(but not VPN)? I mean multiple applications run on remote machine and you try to access to these applications, is there any multiplexing mechanism or concept supporting such feature?

A: 

That is also known as tunneling protocol, and various applications implement that for various protocols. I personally like OpenSSH - see here.

jweyrich