Cisco AnyConnect - VPN taking over entire internet connection

Hi experts,

I connect to VPN to a clients environment via Cisco AnyConnect Secure Mobility Client.  Once connected I then remote desktop into the machine at the client and I can work etc.

Whenever I do this I lose all internet access from the laptop I connect through at my home.  So I can't have an email client running locally as it will not connect to email server.  I can't minimize the remote desktop and browse internet with a local browser.  It's like it completely takes over my internet for some reason.

So I created a new VM via VMWare and thought I would just use the VM to vpn into the client as the VM should share the internet connection.   To my surprise, even when I do that, the internet will not work on my local machine.  The VM completely takes over my entire internet once I connect to Cisco AnyConnect.

I figure this is probably security related but is there anywhere or any setting I can do so it shares the connection?

Or in VMWare something where it won't allow it to take over entire connection?

Thanks for any inisight.