Setting up a VPN connection is really not Qubes specific and is documented in your operating system documentation. The relevant documentation for the Qubes default Guest OS (Fedora) is [Establishing a VPN Connection](https://docs.fedoraproject.org/en-US/Fedora/23/html/Networking_Guide/sec-Establishing_a_VPN_Connection.html)
The simplest case is to set up a VPN connection using the NetworkManager service inside your NetVM. Because the NetworkManager service is already started, you are ready to set up your VPN connection. However this has some disadvantages:
While the NetworkManager service is not started here (for a good reason), you can configure any kind of VPN client in your AppVM as well. However this is only suggested if your VPN client has special requirements.
**WARNING:** *You need to use Qubes 3.1-rc2 (or later)! In the previous releases the NetworkManager service was not working in ProxyVMs as expected.* ([#1052](https://github.com/QubesOS/qubes-issues/issues/1052))
One of the best thing in Qubes is that you can use a special type of VM called a ProxyVM (or FirewallVM). The special thing is that your AppVMs see this as a NetVM, and your NetVMs see it as an AppVM. Because of this, you can place a ProxyVM between your AppVMs and your NetVM. This is how the default FirewallVM functions.