Open the Activities overview and start typing Network.
Click on Network to open the panel.
At the bottom of the list on the left, click the + button to add a new connection.
Choose VPN in the interface list.
Choose which kind of VPN connection you have.
Fill in the VPN connection details, then press Add once you are finished.
When you have finished setting-up the VPN, open the system menu from the right side of the top bar, click VPN off and select Connect. You may need to enter a password for the connection before it is established. Once the connection is made, you will see a lock shaped icon in the top bar.
Hopefully you will successfully connect to the VPN. If not, you may need to double-check the VPN settings you entered. You can do this from the Network panel that you used to create the connection. Select the VPN connection from the list, then press the button to review the settings.
To disconnect from the VPN, click the system menu on the top bar and click Turn Off under the name of your VPN connection.