The VNC software is a screen scraper type application that allows you to view a remote desktop (it predates Microsoft Remote Desktop). The software requires a VNC server component and a VNC Viewer application to run on the client. The software is not overly secure when working on MS Windows systems since MS operating systems do not allow multiple desktops to be concurrently run, except if using MS (Citrix really) Terminal Server (MS Windows Server does include two "administrative" connections, but only for administrative purposes. If you want multiple end users, you need to buy Client Access Licenses and you need to check any software licenses for usage in a multi-user environment.
When using VNC, the local screen is unlocked and could be hijacked by a person physically at the MS Windows machine. As an example:
I setup VNC Server on my usual work desktop.
I am in a lab and use VNC Viewer to access my usual work desktop.
A person sees my desktop unlocked and sends a negative email to the president of the company.
Most companies prohibit VNC and block the ports used by the application. Some companies may also actively scan for the software to identify where it is run from or installed.
Given that you work at a casino, figure that they are very good at securing facilities and IT systems. The chances of you getting around their safeguards is fairly small. If you do, it would only be a matter of time until it is detected. I don't think risking your job over accessing YM, friendster, or similar sites is worth it. If you truly have a business need for it, work with your IT folks rather than trying to circumvent them.
** Edit **
Oh, forgot to address the tracking of sites you open. You mention that you delete the sites you visit, but that may not really be effective. Most corporate sites that have a real IT setup will also use a proxy server (just like the ones the school kids try to get around). This can track your visits back to the computer/user if properly configured for logging.
** Edit 2 **
Oddly enough, VNC is actually a bit better on Linux/UNIX based platforms. The VNC server can be configured to use an Xsession per user connecting and won't be displayed as a local login.
** Edit 3 **
VNC Viewer is scraping a remote desktop so unless the remote system is under your IT administrator control, they probably won't see what you type. On the other hand, they can have a key logger installed on your system and with that, they could see what you type, even if on a remote system using VNC.
Yessup S - is correct about the description of VNC and the mouse movements, but I'd recommend against trying it on a work system.
EvanSnyder and Yogi_Amin - As useful as VNC appears to be, I'm really surprised that your IT administrators permit it to be used on the network. You may want to consider using Desktop Sharing via NetMeeting or IM rather than VNC.