VPN

I am starting a new job and they want me to use a VPN. I know nothing about VPN, which VPN to select or how to set it up. The rest of the company uses PCs and they don't support Mac so I am on my own. I am using my personal computer and I don't want them to tell me to say that because of this I need to switch to a PC, Any advice on what to get and if I can set it up on my own?