If you have your VPN client configured but you are getting the error above (or error 809 on older windows), it is because Windows won't let you establish a VPN through your firewall.
Note: A one-time registry change is required if the VPN server and/or client is behind NAT (e.g. home router). You must reboot your computer when done. It is good practice to backup the registry first.
For Windows Vista, 7, 8 and 10
Open a command prompt (CMD) as administrator , and copy and paste the red text below. Then re-boot your machine.
REG ADD HKLM\SYSTEM\CurrentControlSet\Services\PolicyAgent /v AssumeUDPEncapsulationContextOnSendRule /t REG_DWORD /d 0x2 /f
After the machine has been re-booted, connect to the VPN: Click on the wireless/network icon in your system tray, select the new VPN entry, and click Connect. If prompted, enter Your VPN Username and Password, then click OK.
Once you have completed these steps, you should be able to connect to the VPN, and see content from the location you have connected to (ie you should see the US Netflix catalogue if you are connected to the USA VPN Server). If you still see local content, we recommend that you complete the steps here to stop DNS leaking.