Using a VPN (Virtual Private Network) is a great way to maintain your privacy online. However, there are several different ways to set up a VPN. In this article we’ll show you how to set up a VPN in several different ways, some easy, some more complex. 1. How to Set Up a VPN Using Third-Party Software The quickest and easiest solution if you’re wondering how to create a VPN is to use the software that comes with your VPN subscription. When you purchase a personal VPN service from a company like ExpressVPN or CyberGhost, you’ll get a link to download its software.