Depends on the type of VPN you want and what you're trying to achieve.
For example, you could use a VPN to connect securely from home to your workplace. In that case, your employer would need to provide the VPN server (and you would configure a VPN client, perhaps one already provided by Windows, perhaps one provided by the VPN provider, just depends on the particular VPN). Or perhaps you want to use a VPN while at an open wifi location to secure your connection from other ppl using that same open wifi network. In that case you might want to use a third-party service. Or you could even setup your own VPN server at home (esp. if you were interested in remote access to your home network!).
IOW, without knowing what problem you’re trying to solve, it makes it very difficult to make any recommendations. For all I know, you might not even need a VPN, maybe you have a misunderstanding of what a VPN can and cannot do.