The Apple TV doesn't support use of a VPN, only DNS redirecting. In order to use a VPN with the Apple TV your only option is to set the VPN in your router which of course will affect the rest of your network. One work around I used was to use a second router flashed to DD-WRT in AP mode with the wireless off connected via ethernet to your main router and ethernet to Apple TV. This way my openVPN controlled the Apple TV region and didn't affect the rest of my network.