Configuring VPN on a Samsung devices
Some VPN providers, such as HMA, have instructions specific to Android devices, so its best to check with your VPN provider via their support page, as you're going to need their server and other info. All android devices support PPTP VPN, and there are some VPN's you can use for free such as Hideman which you can find in Google Play. 

Here is a tutorial on basic configuration
http://www.vpntraffic.com/index.php?action=content&amp;cont_id=26