VPN (Virtual Private Network) can be created only on Linux VPS. First it is necessary to ask for setting of write permissions on a network interface. This can be done only from the host server - not virtual. Simply write an authorized request (it will be processed on Mon - Fri at the time 8 a.m. - 4 p. m.). VPN is realized as OpenVPN.
VPN can be set directly via the Plesk interface: go to the section Modules > Virtual Private Networking.
First click on "Generate Key" to generate a new key.
Then click on Preferences to set up the VPN. Set up the IP addresses as necessary and the default UDP port 1194 is allowed. Finally click on Switch On to start the server. Then just install the client part on the computer from that you want to connect. You can download the client part in section "Download client packages". It is available for both Linux and Windows.
If you applied for the write enable without success, you find the cause in a system log of your server. For more details see the documentation OpenVPN