1- Visit the Settings tab.
2- Under Settings tab click additional/More Settings. Look at the screen shots below to see how this step gets done.
3- On subsequent window click VPN.
4- Under VPN click Add VPN Network.
5- Tap ‘VPN Name’ drop-down and enter the name of your VPN affiliation. this might be your VPN provider’s name or any name you're comfy with.
You can find the full setup guide with VPN provider suggestion here http://www.bestvpnservice.com/blog/android-vpn-setup