does anybody know how to set up remote Windows workstation that after establishing connection to corporate VPN server all Internet traffic goes through company gateway and all other traffic is blocked?
How you do it depends on the VPN setup/vendor but you want to be looking along the lines of the default gateway for the vpn connection. Using MS VPN this was set up on the client as a tick box in the VPN adapter settings if I remember correctly (been a few years since I used that) or it may be given out using DHCP by the device providing the VPN connections.
most vpn software / hardware devices support the feature of split tunnels - disabling split tunnels prevents the user from doing anything directly on the web and all traffic goes over the vpn. as richard said it depends on what you are using.
Yes - split tunnels on most third party software / hardware devices ...and for the MS VPN it is correct that there is a check box under the TCP/IP properties once you setup the connection.