I am running an Elementary OS Loki stable build and confirmed that openvpn is present in my system.
However I'd like a comprehensive guide to configuring VPN for privacy on my network connection.
So when Pretzel Jones asked who your provider was, he was asking whose VPN are you looking to connect to. Examples might include NordVPN, PrivateInternetAccess and Mullvad, just to name a few.
These services will then provide you with certificates and credentials you can install on your system through OpenVPN that you then connect to once you're online (ie connected to a network by wifi or otherwise).
The procedure there, typically involves downloading an .ovpn file (once you have an active subscription which will usually involve paying for the service) and IMPORTING that configuration file by:
This guide from NordVPN is a good reference!
Let me know if you have more specific questions as you move through this process and I can update my answer!
Some providers do have applications you can install to connect to their service that have some neat features like disable internet if the VPN connection drops.