Within a kettle job we need to call a program that doesn't return until it is stopped. From a command line this can be done with the Start command of Windows:
Start "some title" /b "C:\windows-style\path with spaces\program.exe" unqoted_param -i -s "quoted param"
This works well by starting the program in another shell while the shell calling it returns and can continue. From within a kettle job this should be possible too, I think, by simply running the above command in a Execute a shell script step with the Insert script option.
However instead of returning from running the program in a new shell, the execution waits for the program to finish. This is not what we want because while the program is running (it's a VPN connection) we need to perform some other steps before the program is stopped again.
I suspect this might have something to do with how kettle performs the script, namely by putting the commands in a temporary batch file, then running that one. At least that's how it is presented in the job log:
2019/09/17 09:40:24 - Step Name - Executing command : cmd.exe /C "C:\Users\username\AppData\Local\Temp\kettle_69458258-d91e-11e9-b9fb-5f418528413ashell.bat"
2019/09/17 09:40:25 - Step Name - (stdout)
2019/09/17 09:40:25 - Step Name - (stdout) C:\pentaho_path>Start "some title" /b "C:\windows-style\path with spaces\program.exe" unqoted_param -i -s "quoted param"```
For a quick solution, you can use parallel execution in the job.
From the Start step (or whichever step precedes the need for the VPN), activate the option to run the subsequent steps in parallel. Then you can put the shell script step in its own branch while the rest of the job can continue (with a wait step on the other branch to allow the VPN to start).
From the question, you are probably running jobs from the Pentaho server. If you happen to run them from a scheduler with kitchen.bat, you could start the VPN before calling kitchen of course.