Hi! Linux is an entirely different operating system. It's not just a program to install. Installing Linux on a home computer is a bit out of scope for this site, and there are plenty of places that can show you how: http://www.ubuntu.com/download/desktop/install-ubuntu-desktop Though, you'd most likely want to setup your VPN on a remote server which you then connect to from your local computer. Luckily, that exactly what DigitalOcean provides. To spin up a new server check out this article: https://www.digitalocean.com/community/tutorials/how-to-create-your-first-digitalocean-droplet-virtual-server

Using virtualbox https://www.virtualbox.org/ any linux based distributions like Ubuntu, Centos can be installed into windows 8, which is much more easy to get dive into linux and learn it.