Set Up Your Own VPN, Without the Expensive Software. By Eric Geier. If you want secure access to your network when away from the office, you can setup a Virtual Private Network ().You can connect via the Internet and securely access your shared files and resources. And anyway, now that you know how to set up a VPN, toggling it off is easy in comparison. You just have to remember to do it. Vox Media has affiliate partnerships. Step by step: How to set up a VPN in Windows 10. Step 1 Click on the Cortana search bar or button on the taskbar and type vpn. Step 2 The top choice should be Change virtual private networks (VPN). Check out our step-by-step guide to set-up a VPN on any Windows 10 device using any protocol. To make it easier for you, each step is supported by screenshots. How to Set Up and Use a VPN. A VPN is one of the simplest ways to protect your privacy online. Buying and installing a VPN app is easy, so you've got no excuse. The next video is starting stop. Loading. Watch Queue How to Set Up Your Own Home VPN Server. Chris Hoffman @chrisbhoffman Updated July 31, 2019, 1:03pm EDT. Virtual Private Networks (VPNs) are very useful, whether you’re traveling the world or just using public Wi-Fi at a coffee shop in your hometown. How to set up a VPN and why you must use one. By Komando Staff, Komando.com. stuff u need. Ethernet cable USB to Ethernet adapter VPN Follow our Step-by-step VPN setup guides for macOS, Windows, iOS, Android, gaming consoles and routers. Just choose your OS then choose a protocol you want to use and then follow the instructions. That's it, you have an up and running VPN connection.