Setting up a VPN on your own devices: the concepts

Before you start

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Approaches compared by what they cover. None is right for everyone.
Approach	How it works	Covers	Watch out for
Provider's app	An app from the provider sets up the tunnel and settings	All traffic on that device	Install only from the official source; keep it updated
Built-in client	The operating system's own VPN settings, using a configuration from the provider	All traffic on that device	Configuration files contain credentials; store them safely
Router	The home router connects to the VPN for the whole network	Every device on that network	Harder to change; may slow the whole network; needs router support
Browser extension	Routes only that browser's traffic, often as a proxy	That browser only	Other apps are not covered; check what the extension can read

Get the app or configuration from the official source
Use the provider's own site or your device's official app store. Avoid download mirrors and modified versions.
Sign in and keep the defaults
Start with the default protocol and settings. Change one thing at a time later if you need to.
Turn on the protective settings
Enable the kill switch and DNS protection. See sensible defaults.
Connect and check
Confirm your visible address changed and nothing leaks. See Check that your VPN is working.
Decide when it should run
Choose auto-connect for untrusted networks if you tend to forget, and note how to turn it off when a network or service requires it.

Terms used here

A laptop or phone administered by an employer or school. Its owner sets the rules, and installing your own VPN on it is usually not allowed.

The rules an employer, school or network operator sets for using its networks and devices. They often say whether personal VPNs are allowed.

A setting that blocks internet traffic if the VPN connection drops, so nothing is sent outside the tunnel by accident.