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Using a VPN on Windows 1. Head to your VPN provider’s website and download the Windows installer, which is an executable, or exe, file.
Head to your VPN provider's website, navigate to the Downloads page, and download the installer that's compatible with your Linux operating system (OS) and computer hardware.
If you are looking for ways to install, set up and configure VPN on a router, this comprehensive guide has all that you ned to know.