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:
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:
Once you log into DigitalOcean, you will need to create your first server. This tutorial will walk you through the steps to need to make your first DigitalOcean droplet. These include choosing your server's size, location, and linux distribution. It will also also show you to log into your server.